Semiparametric unit root tests based on
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Dong Wan Shin; Beong-Soo So
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Article
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1997
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Elsevier Science
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English
β 370 KB
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