Hostname: page-component-8448b6f56d-jr42d Total loading time: 0 Render date: 2024-04-16T18:10:47.701Z Has data issue: false hasContentIssue false

COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor

Published online by Cambridge University Press:  01 June 2009

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Article Commentary
Copyright
Copyright © Cambridge University Press 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

The author thanks Graham Elliott and Mark Watson for helpful discussions and the NSF for financial support via grant SES-0518036.

References

REFERENCES

Ayat, L. & Burridge, P. (2000) Unit root tests in the presence of uncertainty about the stochastic trend. Journal of Econometrics 95, 7196.10.1016/S0304-4076(99)00030-5CrossRefGoogle Scholar
Elliott, G. & Müller, U.K. (2006) Minimizing the impact of the initial condition on testing for unit roots. Journal of Econometrics 135, 285310.10.1016/j.jeconom.2005.07.024CrossRefGoogle Scholar
Elliott, G., Rothenberg, T.J., & Stock, J.H. (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813836.10.2307/2171846CrossRefGoogle Scholar
Jansson, M. (2008) Semiparametric power envelopes for tests of the unit root hypothesis. Econometrica 76, 11031142.Google Scholar
Lehmann, E.L. (1986) Testing Statistical Hypotheses, 2nd ed. Wiley.10.1007/978-1-4757-1923-9CrossRefGoogle Scholar
Müller, U.K. (2007) An Alternative Sense of Asymptotic Efficiency. Working paper, Princeton University.Google Scholar
Müller, U.K. & Elliott, G. (2003) Tests for unit roots and the initial condition. Econometrica 71, 12691286.10.1111/1468-0262.00447CrossRefGoogle Scholar
Müller, U.K. & Watson, M.W. (2008) Testing models of low-frequency variability. Econometrica 76, 9791016.Google Scholar