Semiparametric Tests for Double Unit Roots
โ Scribed by Niels Haldrup
- Book ID
- 124704383
- Publisher
- American Statistical Association
- Year
- 1994
- Tongue
- English
- Weight
- 589 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0735-0015
- DOI
- 10.2307/1391927
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
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