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.
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- 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.
- 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.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- 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.
- Wang, Qiying & Phillips, Peter C.B., 2009.
"Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression,"
Cambridge University Press, vol. 25(03), pages 710-738, June.
- 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.
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