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Semiparametric unit root tests based on symmetric estimators

Authors
Journal
Statistics & Probability Letters
0167-7152
Publisher
Elsevier
Publication Date
Volume
33
Issue
2
Identifiers
DOI: 10.1016/s0167-7152(96)00125-3
Keywords
  • Unit Root Test
  • Semiparametric Test
  • Symmetric Estimator
  • Weighted Symmetric Estimator

Abstract

Abstract Based on symmetric estimation and the weighted symmetric estimation of Pantula et al. (1994) and Park and Fuller (1995), new semiparametric tests for testing a unit root under the general situation of Phillips (1987) and Phillips and Perron (1988) are developed. A Monte-Carlo simulation shows that the new tests have better power than the semiparametric tests of Phillips (1987) and Phillips and Perron (1988), under first-order moving average errors.

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