The impact of the initial condition on covariate augmented unit root tests

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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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Bibliographic Details
Main Authors:	Aristidou, Chrystalleni, Harvey, David I., Leybourne, Stephen J.
Format:	Article
Published:	De Gruyter 2016
Subjects:	Unit root tests; stationary covariates; initial condition uncertainty; asymptotic power
Online Access:	https://eprints.nottingham.ac.uk/32655/

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