IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test

Listed author(s):
  • Cheung, Yin-Wong
  • Lai, Kon S.

This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the power property of the PP test in finite samples. The Monte Carlo results are instructive. Although the kernel choice is found to make little difference, data-based bandwidth selection and prewhitening can lead to power gains for the PP test. The combined use of both the Andrews (1991, Ecpnometrica 59, 817–858) data-based bandwidth selection procedure and the Andrews and Monahan (1992, Econometrica 60, 953–966) prewhitening procedure performs particularly well. With the combined use of these two procedures, the PPtest displays relatively good power in comparison with the augmented Dickey-Fuller test.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: link to article abstract page
Download Restriction: no

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 13 (1997)
Issue (Month): 05 (October)
Pages: 679-691

in new window

Handle: RePEc:cup:etheor:v:13:y:1997:i:05:p:679-691_00
Contact details of provider: Postal:
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK

Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:13:y:1997:i:05:p:679-691_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.