An Improved Nonparametric Unit-Root Test
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.
|Date of creation:||Aug 2012|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
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.:
- 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.
- 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.
- 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.
- 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.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2012-16. 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: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.