An Improved Nonparametric Unit-Root Test
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References listed on IDEAS
- 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.
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- Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014.
"Semiparametric methods in nonlinear time series analysis: a selective review,"
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More about this item
KeywordsAutoregression; nonparametric unit?root test; nonstationary time series; specification testing.;
- 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; Diffusion Processes
NEP fieldsThis 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)
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