Size Improvements In Unit Root Tests For Time Series With Serially Correlated Errors
廣島大學經濟論叢 Volume 39 Issue 2
Page 73-97
published_at 2015-11-30
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この文献の参照には次のURLをご利用ください : https://doi.org/10.15027/39804
| File | |
| Title ( jpn ) |
Size Improvements In Unit Root Tests For Time Series With Serially Correlated Errors
|
| Creator | |
| Source Title |
廣島大學經濟論叢
The Hiroshima Economic Review
|
| Volume | 39 |
| Issue | 2 |
| Start Page | 73 |
| End Page | 97 |
| Journal Identifire |
[ISSN] 0386-2704
[NCID] AN00213519
|
| Abstract |
This paper proposes a few nonparametric tests to reduce severe size distortions in the Phillips-Perron tests. It is shown that these lead to noticeable improvements by including terms that slowly converge to zero in asymptotic approximations.
|
| NDC |
Economics [ 330 ]
|
| Language |
jpn
|
| Resource Type | departmental bulletin paper |
| Publisher |
広島大学経済学会
|
| Date of Issued | 2015-11-30 |
| Rights |
Copyright (c) 2015 広島大学
|
| Publish Type | Version of Record |
| Access Rights | open access |
| Source Identifier |
[ISSN] 0386-2704
[NCID] AN00213519
|
