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Testing for a unit root in autoregressive processes with systematic but incomplete sampling

✍ Scribed by Dongwan Shin; Sastry G. Pantula


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
623 KB
Volume
18
Category
Article
ISSN
0167-7152

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New tests for unit roots in autoregressi
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For autoregressive processes with possibly inΓΏnite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for ΓΏnite variance innovations and for inΓΏnite variance innovations. The test statistics are the pivotal stat