Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
AbstractThis 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 InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 24 (2003)
Issue (Month): 3 (05)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
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- Georgios Chortareas & George Kapetanios, 2004.
"The Yen Real Exchange Rate may be Stationary after all: Evidence from Non-linear Unit-root Tests,"
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- 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 311, Bank of England.
- Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22.
- Dimitris Christopoulos, 2006. "Does a non-linear mean reverting process characterize real GDP movements?," Empirical Economics, Springer, vol. 31(3), pages 601-611, September.
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