Exact distribution and critical values of a unit root test in the presence of change in variance
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DOI: 10.1080/1350485042000261270
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References listed on IDEAS
- Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
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"Testing for a Unit Root in a Time Series with a Changing Mean,"
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- Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-470, October.
- Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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Cited by:
- Junya Masuda & Kazuhiro Ohtani, 2008. "Exact distribution and critical values of a unit root test when error terms are serially correlated," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 359-362.
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