Efficient Tests for an Autoregressive Unit Root
收藏NBER1992-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0130
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资源简介：
This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is proposed, members of which are asymptotically similar under a general 1(1) null (allowing nonnormality
提供机构：
美国国家经济研究局
创建时间：
1992-12-01
