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Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

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  • ANDREW P. BLAKE
  • GEORGE KAPETANIOS

Abstract

This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken. Copyright 2003 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 24 (2003)
Issue (Month): 3 (05)
Pages: 253-267

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Handle: RePEc:bla:jtsera:v:24:y:2003:i:3:p:253-267

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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Cited by:
  1. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, Centre for Central Banking Studies, Bank of England, number 22.
  2. Georgios Chortareas & George Kapetanios, 2006. "The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests," Bank of England working papers, Bank of England 311, Bank of England.
  3. Dimitris Christopoulos, 2006. "Does a non-linear mean reverting process characterize real GDP movements?," Empirical Economics, Springer, Springer, vol. 31(3), pages 601-611, September.

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