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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
廣島大學經濟論叢 Volume 39 Issue 2
published_at 2015-11-30
Size Improvements In Unit Root Tests For Time Series With Serially Correlated Errors
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.
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