𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Unit root testing based on BLUS residuals

✍ Scribed by Dimitrios V. Vougas


Book ID
108267514
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
217 KB
Volume
78
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Semiparametric unit root tests based on
✍ Dong Wan Shin; Beong-Soo So πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 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

Normalizations for periodogram-based uni
✍ Barry A Evans; David A Dickey πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 106 KB

We explore a periodogram-based unit root test that is invariant to nonzero means and invariant to nuisance parameters in the error series. We present modiΓΏcations to account for trends and deterministic seasonal components.