Semiparametric unit root tests based on symmetric estimators

Dong Wan Shin; So Beong-Soo

doi:10.1016/s0167-7152(96)00125-3

Semiparametric unit root tests based on symmetric estimators

Dong Wan Shin, So Beong-Soo

Department of Statistics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	177-184
Number of pages	8
Journal	Statistics and Probability Letters
Volume	33
Issue number	2
DOIs	https://doi.org/10.1016/s0167-7152(96)00125-3
State	Published - 30 Apr 1997

Bibliographical note

Funding Information:
The authors wish to thank the referee for the valuable comments. This work is supported by Korea Science and Engineering Foundation grant 94-0701-0101-3.

Keywords

Semiparametric test
Symmetric estimator
Unit root test
Weighted symmetric estimator

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10.1016/s0167-7152(96)00125-3

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title = "Semiparametric unit root tests based on symmetric estimators",

abstract = "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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author = "Shin, {Dong Wan} and So Beong-Soo",

note = "Funding Information: The authors wish to thank the referee for the valuable comments. This work is supported by Korea Science and Engineering Foundation grant 94-0701-0101-3.",

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T1 - Semiparametric unit root tests based on symmetric estimators

AU - Shin, Dong Wan

AU - Beong-Soo, So

N1 - Funding Information: The authors wish to thank the referee for the valuable comments. This work is supported by Korea Science and Engineering Foundation grant 94-0701-0101-3.

PY - 1997/4/30

Y1 - 1997/4/30

N2 - 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.

AB - 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.

KW - Semiparametric test

KW - Symmetric estimator

KW - Unit root test

KW - Weighted symmetric estimator

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VL - 33

SP - 177

EP - 184

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 2

ER -

Semiparametric unit root tests based on symmetric estimators

Abstract

Bibliographical note

Keywords

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