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A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

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Author Info
Perron, Pierre
Qu, Zhongjun

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 94 (2007)
Issue (Month): 1 (January)
Pages: 12-19
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Handle: RePEc:eee:ecolet:v:94:y:2007:i:1:p:12-19

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Niels Haldrup & Michael Jansson, 2005. "Improving Size and Power in Unit Root Testing," Economics Working Papers 2005-2, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  1. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series wp2008-019, Boston University - Department of Economics. [Downloadable!]
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This page was last updated on 2009-11-7.

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