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.
|Number of pages||8|
|Journal||Statistics and Probability Letters|
|State||Published - 30 Apr 1997|
- Semiparametric test
- Symmetric estimator
- Unit root test
- Weighted symmetric estimator