On the importance of the first observation in GLS detrending in unit root testing

Westerlund, J. 2014, On the importance of the first observation in GLS detrending in unit root testing, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

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Title On the importance of the first observation in GLS detrending in unit root testing
Author(s) Westerlund, J.
Publication date 2014
Series School Working Paper - Financial Econometrics Series
Total pages 13
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) Unit root test
GLS detrending
Local asymptotic power
RePEc:dkn:ecomet:fe_2014_07
Notes This working paper was later published in the journal 'Oxford Bulletin of Economics and Statistics' and is available online: http://www.dx.doi.org/10.1111/obes.12050
Language eng
HERDC Research category CN.1 Other journal article
Related work DU:30077701
Copyright notice ©2014, The Author
Persistent URL http://hdl.handle.net/10536/DRO/DU:30106659

Document type: Report
Collection: RePEc Working Papers
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