Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter

DOI10.1016/0165-1765(90)90143-OzbMath0729.62512OpenAlexW1968590240MaRDI QIDQ806888

N. E. Zubov

Publication date: 1990

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90143-o

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (5)

A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ On the power of stationarity tests using optimal bandwidth estimates ⋮ Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type ⋮ Linear process bootstrap unit root test ⋮ On the power of durbin-watson statistic against fractionally integrated processes

Cites Work

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• Approximate Fourier analysis of distribution functions
• Mathematical Considerations in the Estimation of Spectra
• Testing for a unit root in time series regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for a unit root in the presence of moving average errors
• Checks of model adequacy for univariate time series models and their application to econometric relationships

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