Seasonal Unit Root Tests Based on Forward and Reverse Estimation
โ Scribed by STEPHEN LEYBOURNE; A. M. ROBERT TAYLOR
- Book ID
- 108549542
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 168 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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 t
Semiparametric extensions of the seasonal unit root tests for the model of Dickey et al. (1984, J. Amer. Statist. Assoc. 79, 355) are proposed. Development of semiparametric extensions based on the ordinary least-squares estimator (OLSE) is impossible for the regression of since the limiting null d