Unit root tests based on inequality-restricted estimators

Tae-Hwan Kim () and Paul Newbold

Applied Economics Letters, 2001, vol. 8, issue 12, 793-797

Abstract: This study considers the possibility of estimating a Dickey-Fuller regression, constraining the autoregressive parameter to be at most one, and imposing prior knowledge of the sign of the drift parameter. In spite of apparently encouraging asymptotic results, it emerges that no feasible test of the unit root null hypothesis with superior finite sample properties follows from such inequality-restricted estimation.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:8:y:2001:i:12:p:793-797

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850110046039

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().