The impact of the initial condition on covariate augmented unit root tests
We examine the behaviour of OLS-demeaned/detrended and GLS-demeaned/detrended unit root tests that employ stationary covariates, as proposed by Hansen (1995, “Rethinking the Univariate Approach to Unit Root Testing.” Econometric Theory 11:1148–71) and Elliott and Jansson (2003, “Testing for Unit Roo...
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| Format: | Article |
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De Gruyter
2016
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| Online Access: | https://eprints.nottingham.ac.uk/32655/ |