Semiparametric unit root tests based on symmetric estimators

Dong Wan Shin, So Beong-Soo

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)177-184
Number of pages8
JournalStatistics and Probability Letters
Volume33
Issue number2
DOIs
StatePublished - 30 Apr 1997

Keywords

  • Semiparametric test
  • Symmetric estimator
  • Unit root test
  • Weighted symmetric estimator

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