Bootstrap Unit Root Tests

Joon Y. Park

Econometrica, Vol. 71, No. 6. (Nov., 2003), pp. 1845-1895.

 

Objective' Bayesian Unit Root Tests

G. Koop

Journal of Applied Econometrics, Vol. 7, No. 1. (Jan. - Mar., 1992), pp. 65-82.

 

The Nonstationary Fractional Unit Root

Katsuto Tanaka

Econometric Theory, Vol. 15, No. 4. (Aug., 1999), pp. 549-582.

 

The Fractional Unit Root Distribution

Fallaw Sowell

Econometrica, Vol. 58, No. 2. (Mar., 1990), pp. 495-505.

 

Testing for a Moving Average Unit Root

Katsuto Tanaka

Econometric Theory, Vol. 6, No. 4. (Dec., 1990), pp. 433-444.

 

Time Series Regression with a Unit Root

P. C. B. Phillips

Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 277-301.

 

Efficient Tests for an Autoregressive Unit Root

Graham Elliott; Thomas J. Rothenberg; James H. Stock

Econometrica, Vol. 64, No. 4. (Jul., 1996), pp. 813-836.

 

Threshold Autoregression with a Unit Root

Mehmet Caner; Bruce E. Hansen

Econometrica, Vol. 69, No. 6. (Nov., 2001), pp. 1555-1596.

 

Unit Root Tests Based on Adaptive Maximum Likelihood Estimation

Dong Wan Shin; Beong Soo So

Econometric Theory, Vol. 15, No. 1. (Feb., 1999), pp. 1-23.

 

A Correction Factor for Unit Root Test Statistics

Francesco Bravo

Econometric Theory, Vol. 15, No. 2. (Apr., 1999), pp. 218-227.

 

单位根检验是计量经济学中非常重要的一部分,是进行协整分析,格兰杰因果关系的基础.在计量经济学的自回归模型里，如果在yt=a+byt-1+et里，系数 | b | = 1，那么一个单位根是存在的。其中：yt 是在t 时刻的变量，b 是斜率系数,et是误差项。如果单位根存在，时间序列可以说是有一个随机趋向。

 

 

【典藏下载系列2】世界顶尖计量经济学著作集锦：

 

https://bbs.pinggu.org/thread-257614-1-1.html&page=3 

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