REJOINDER

DOI10.1017/S0266466608090245MaRDI QIDQ3181941zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne, A. M. Robert Taylor

Publication date 30 September 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608090245

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Ancillaries and conditional inference (with comments and rejoinder)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Minimizing the impact of the initial condition on testing for unit roots

Cited in

(2)

• Reply to the discussion
• Bootstrap union tests for unit roots in the presence of nonstationary volatility

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