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An Improved Nonparametric Unit-Root Test

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  • Jiti Gao

    ()

  • Maxwell King

    ()

Abstract

This 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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File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2012/wp16-12.pdf
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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 16/12.

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Length: 24 pages
Date of creation: Aug 2012
Date of revision:
Handle: RePEc:msh:ebswps:2012-16

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Related research

Keywords: Autoregression; nonparametric unit?root test; nonstationary time series; specification testing.;

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References

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  1. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  2. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(03), pages 710-738, June.
  3. Gao, Jiti & King, Maxwell & Lu, Zudi & Tjøstheim, Dag, 2009. "Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1869-1892, December.
  4. 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.
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Cited by:
  1. 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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