Thomas J. Rothenberg
1 paper in the Anchorcite directory, published in 1996, cited 5,709 times in total.
Research topics
- Monetary Policy and Economic Impact · 1 paper
- Financial Risk and Volatility Modeling · 1 paper
- Advanced Statistical Methods and Models · 1 paper
Frequent co-authors
- Graham Elliott · 1 paper
- James H. Stock · 1 paper
Papers
- Efficient Tests for an Autoregressive Unit RootEconometrica · 1996 · 5,709 citations
This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is proposed, members of which are asymptotically similar under a general 1(1) null…
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