References
- Andrews , D. W. K. 1991 . Heteroscedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 858 .
- Andrews , D. W. K. and Monahan , J. C. 1992 . An improved heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 60 : 953 – 966 .
- Dicky , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
- Kim , K. and Schmidt , P. 1990 . Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters . Economics Letters , 34 : 345 – 350 .
- Lee , C. C. and Phillips , P. C. B. 1994 . An ARMA prewhitened long-run variance estimator , Department of Economics, Yale University . Mimeo
- Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
- Said , S. E. and Dickey , D. A. 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 608 .
- Schwert , G. W. 1989 . Tests for unit roots: a Monte Carlo investigation . Journal of Business and Economic Statistics , 7 : 147 – 159 .