I would like to thank three anonymous referee, co-editor, Nikolay Gospodinov, Pierre Perron, Barbara Rossi, Jim Stock, and participants of the Econometric Seminar at Harvard and Boston University, the Winter Econometric Society Meeting 2008, and the CIREQ conference in Montreal 2009 for comments. I am grateful to Denis Chetverikov, J. B. Doyle, and Ruitian Lang for research assistance. Financial support from the Castle–Krob Career Development Chair is gratefully acknowledged.
One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root
Version of Record online: 10 JAN 2012
© 2012 The Econometric Society
Volume 80, Issue 1, pages 173–212, January 2012
How to Cite
Mikusheva, A. (2012), One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root. Econometrica, 80: 173–212. doi: 10.3982/ECTA9371
- Issue online: 10 JAN 2012
- Version of Record online: 10 JAN 2012
- Manuscript received June, 2010; final revision received June, 2011.
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