The finite-sample performance of robust unit root tests
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- Carstensen, Kai, 2003. "The finite-sample performance of robust unit root tests," Munich Reprints in Economics 19943, University of Munich, Department of Economics.
References listed on IDEAS
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- V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
- Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
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KeywordsSimulation study; Nonnormality; Power comparison;
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