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Testing for a Unit Root
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Published in print:
- 1993
- Published Online:
- November 2003
- ISBN:
- 9780198288107
- eISBN:
- 9780191595899
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198288107.003.0004
- Subject:
- Economics and Finance, Econometrics
Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and ... More
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