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This article discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We ...
Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and ...
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