TESTS FOR UNIT ROOTS - A MONTE-CARLO INVESTIGATION

[1] Box G.E.P., 1976, TIME SERIES ANAL

[2] UNIT ROOTS IN TIME-SERIES MODELS - TESTS AND IMPLICATIONS [J]. AMERICAN STATISTICIAN, 1986, 40 (01) : 12 - 26

[3] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J]. ECONOMETRICA, 1981, 49 (04) : 1057 - 1072

[4] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431

[5] TESTING FOR UNIT ROOTS .2. [J]. ECONOMETRICA, 1984, 52 (05) : 1241 - 1269

[6] EXPECTED STOCK RETURNS AND VOLATILITY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) : 3 - 29

[7] FULLER WA, 1976, INTRO STATISTICAL TI

[8] INFORMATION AGGREGATION, INFLATION, AND THE PRICING OF INDEXED BONDS [J]. JOURNAL OF POLITICAL ECONOMY, 1985, 93 (01) : 92 - 114

[9] NELSON CR, 1977, AM ECON REV, V67, P478

[10] A SIMPLE, POSITIVE SEMIDEFINITE, HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX [J]. ECONOMETRICA, 1987, 55 (03) : 703 - 708

[1] Box G.E.P., 1976, TIME SERIES ANAL

[2] UNIT ROOTS IN TIME-SERIES MODELS - TESTS AND IMPLICATIONS [J]. AMERICAN STATISTICIAN, 1986, 40 (01) : 12 - 26

[3] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J]. ECONOMETRICA, 1981, 49 (04) : 1057 - 1072

[4] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431

[5] TESTING FOR UNIT ROOTS .2. [J]. ECONOMETRICA, 1984, 52 (05) : 1241 - 1269

[6] EXPECTED STOCK RETURNS AND VOLATILITY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) : 3 - 29

[7] FULLER WA, 1976, INTRO STATISTICAL TI

[8] INFORMATION AGGREGATION, INFLATION, AND THE PRICING OF INDEXED BONDS [J]. JOURNAL OF POLITICAL ECONOMY, 1985, 93 (01) : 92 - 114

[9] NELSON CR, 1977, AM ECON REV, V67, P478

[10] A SIMPLE, POSITIVE SEMIDEFINITE, HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX [J]. ECONOMETRICA, 1987, 55 (03) : 703 - 708