Journal
ECONOMICS LETTERS
Volume 97, Issue 3, Pages 222-229Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2007.03.016
Keywords
autoregressive estimator; GLS detrending; unit root test; power
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This paper simulates power of unit root tests based on alternative procedures for undertaking GLS detrending in a linear trend model. Many of the proposed methods produce improvements (over the original approach) for small samples and autoregressive parameter near unity. (c) 2007 Elsevier B.V. All rights reserved.
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