Power of tests for unit roots in the presence of a linear trend.
Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend and a fixed initial value. This model has nuisance parameters so later authors have often worked with a slightly different model with a random initial value in which nuisance parameters can be eliminat...
Main Author: | Nielsen, B |
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Format: | Working paper |
Language: | English |
Published: |
Nuffield College (University of Oxford)
2003
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