廣島大學經濟論叢 39巻 2号
2015-11-30 発行

Size Improvements In Unit Root Tests For Time Series With Serially Correlated Errors

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抄録
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.
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Copyright (c) 2015 広島大学