{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,4,2]],"date-time":"2022-04-02T13:16:50Z","timestamp":1648905410363},"reference-count":29,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":5124,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1995,2]]},"abstract":"<jats:p>It was recently shown (Abadir, 1993b) that nonstationarity causes the limiting distributions of the Wald (<jats:italic>W<\/jats:italic>) and Lagrange multiplier (<jats:italic>LM<\/jats:italic>) statistics to become different from each other. This paper demonstrates that such a divergence between the two distributions can be used as an indicator of the presence of a unit root. A test based on this idea is devised by modifying the normalized autocorrelation coefficient (<jats:italic>NAC<\/jats:italic>). It is then shown to be an improvement on <jats:italic>NAC<\/jats:italic> in large samples and an improvement on other existing tests in large effective samples. The paper also investigates the effect of nonstationarity on the well-known inequality <jats:italic>W<\/jats:italic> \u2265 <jats:italic>LR<\/jats:italic> \u2265 <jats:italic>LM<\/jats:italic>.<\/jats:p>","DOI":"10.1017\/s026646660000904x","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T11:39:55Z","timestamp":1236685195000},"page":"81-104","source":"Crossref","is-referenced-by-count":3,"title":["A New Test for Nonstationarity Against the Stable Alternative"],"prefix":"10.1017","volume":"11","author":[{"given":"Karim M.","family":"Abadir","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S026646660000904X_ref028","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347499"},{"key":"S026646660000904X_ref027","doi-asserted-by":"publisher","DOI":"10.2307\/1914262"},{"key":"S026646660000904X_ref023","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-65645-3"},{"key":"S026646660000904X_ref022","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(90)90010-Q"},{"key":"S026646660000904X_ref020","doi-asserted-by":"publisher","DOI":"10.1214\/ss\/1177011136"},{"key":"S026646660000904X_ref019","volume-title":"Introduction to Statistical Time Series","author":"Fuller","year":"1976"},{"key":"S026646660000904X_ref029","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177706450"},{"key":"S026646660000904X_ref025","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"S026646660000904X_ref013","doi-asserted-by":"crossref","unstructured":"Elliott G. , Rothenberg T.J. & Stock J.H. 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(1993c) On Variance Reduction Techniques in Dynamic Models. Manuscript."},{"key":"S026646660000904X_ref006","unstructured":"Abadir K.M. (1993d) The Joint Density of Two Functional of a Brownian Motion. Manuscript."},{"key":"S026646660000904X_ref011","first-page":"427","article-title":"Distribution of the estimators for autoregressive time series with a unit root","volume":"74","author":"Dickey","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"S026646660000904X_ref012","doi-asserted-by":"publisher","DOI":"10.2307\/1912517"},{"key":"S026646660000904X_ref016","first-page":"263","volume-title":"Advances in Econometrics","author":"Evans","year":"1982"},{"key":"S026646660000904X_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/1912611"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660000904X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,14]],"date-time":"2019-05-14T15:36:27Z","timestamp":1557848187000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660000904X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995,2]]},"references-count":29,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1995,2]]}},"alternative-id":["S026646660000904X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660000904x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1995,2]]}}}