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Tests Based on Equivariant Estimators

✍ Scribed by Louis-Paul Rivest


Book ID
115056767
Publisher
John Wiley and Sons
Year
1985
Tongue
French
Weight
278 KB
Volume
13
Category
Article
ISSN
0319-5724

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Semiparametric unit root tests based on
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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