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ADF-GLS test

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Elliott, Rothenberg and Stock (1996), (ERS) proposed an asymptotically point optimal test to detect a unit root in time series. They proposed to locally de-trend (de-mean) data series to efficiently estimate the deterministic parameters of the series, and use the transformed data to perform a usual ADF unit root test. They also provide the critical values of this testing procedure are provided for different sample sizes for 1%, 2.5%, 5% and 10% values. [1] ERS discuss a class of point optimal tests too.




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