An Improved Nonparametric Unit-Root Test
AbstractThis paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 16/12.
Length: 24 pages
Date of creation: Aug 2012
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
- NEP-ECM-2012-09-09 (Econometrics)
- NEP-ETS-2012-09-09 (Econometric Time Series)
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.:
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Wang, Qiying & Phillips, Peter C.B., 2009.
"Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression,"
Cambridge University Press, vol. 25(03), pages 710-738, June.
- Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation for Research in Economics, Yale University.
- Gao, Jiti & King, Maxwell & Lu, Zudi & Tjøstheim, Dag, 2009.
"Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity,"
Cambridge University Press, vol. 25(06), pages 1869-1892, December.
- Jiti Gao & Maxwell King & Zudi Lu & Dag TjÃ¸stheim, 2009. "Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity," School of Economics Working Papers 2009-03, University of Adelaide, School of Economics.
- Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011.
"Estimation in threshold autoregressive models with a stationary and a unit root regime,"
Monash Econometrics and Business Statistics Working Papers
21/11, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
- Patrick Saart & Jiti Gao, 2012. "Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review," Monash Econometrics and Business Statistics Working Papers 21/12, Monash University, Department of Econometrics and Business Statistics.
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