Title of article :
A Lagrange multiplier stationarity test using covariates
Author/Authors :
Ted Juhl، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Abstract :
A stationarity test based on the Lagrange multiplier using covariates is proposed. The tests are shown to have more power than standard Lagrange multiplier tests if the covariates are highly correlated with the stationary part of the data.
Keywords :
Unit roots , Covariates , Stationarity
Journal title :
Economics Letters
Journal title :
Economics Letters