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Efficient tests for an autoregression unit root-英文文献
Efficient Tests for an Autoregressive Unit Root
Author(s): Graham Elliott, Thomas J. Rothenberg, James H. Stock
Source: Econometrica, Vol. 64, No. 4 (Jul., 1996), pp. 813-836
Published by: The Econometric Society
Stable URL: /stable/2171846
Accessed: 27/10/2009 13:08
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Econometrica, Vol. 64, No. 4 (July, 1996), 813-836
EFFICIENT TESTS FOR AN AUTOREGRESSIVE UNIT ROOT
AND JAMESH. STOCK1
J. ROTHENBERG,
BY GRAHwAELLIOrr, THOMAS
The asymptotic power envelope is derived for point-optimal tests of a unit root in the
autoregressive representation of a Gaussian time series under v
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