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Semiparametric unit root tests based on symmetric estimators

✍ Scribed by Dong Wan Shin; Beong-Soo So

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 370 KB
Volume: 33
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(96)00125-3

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✦ Synopsis

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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