Semiparametric unit root tests based on symmetric estimators (Q1380585)

Based on symmetric estimation and the weighted symmetric estimation of \textit{S.G. Pantula} et al. [J. Bus. Econ. Stat. 12, 449-459 (1994)] and \textit{H.J. Park} and \textit{W.A. Fuller} [J. Time Ser. Anal. 16, No. 4, 415-429 (1995)], new semiparametric tests for testing a unit root under the general situation of \textit{P.C.B. Phillips} [Econometrica 55, 277-301 (1987; Zbl 0613.62109)] and \textit{P.C.B. Phillips} and \textit{P. Perron} [Biometrika 75, No. 2, 335-346 (1988; Zbl 0644.62094)] are developed. A Monte Carlo simulation shows that the new tests have better power than the semiparametric tests of Phillips and Phillips and Perron, under first-order moving average errors.