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REJOINDER

Published online by Cambridge University Press:  01 June 2009

David I. Harvey ,
Stephen J. Leybourne  and
A.M. Robert Taylor
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Type
Article Commentary
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009 , pp. 658 - 667
Copyright
Copyright © Cambridge University Press 2009

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References

REFERENCES

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Ng, S. & Perron, P. (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519–1554.10.1111/1468-0262.00256CrossRefGoogle Scholar
Perron, P. & Qu, Z. (2007) A simple modification to improve the finite sample properties of Ng and Perron's unit root tests. Economics Letters 94, 12–19.10.1016/j.econlet.2006.06.009CrossRefGoogle Scholar