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The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes

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  • Nielsen, Bent

Abstract

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Suggested Citation

  • Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-219, January.
  • Handle: RePEc:ecm:emetrp:v:69:y:2001:i:1:p:211-19
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    Citations

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    Cited by:

    1. Bent Nielsen, 2004. "Money demand in the Yugoslavian hyperinflation 1991-1994," Economics Series Working Papers 2004-W31, University of Oxford, Department of Economics.
    2. Ahlgren, Niklas & Nyblom, Jukka, 2005. "Tests Against Stationary and Explosive Alternatives in Vector Autoregressive Models," Working Papers 511, Hanken School of Economics.
    3. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
    4. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
    5. Lars Hougaard Hansen & Bent Nielsen & Jens Perch Nielsen, 2004. "Two sided analysis of variance with a latent time series," Economics Papers 2004-W25, Economics Group, Nuffield College, University of Oxford.
    6. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-29.
    7. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.

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