Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

Andrew Blake and George Kapetanios

Journal of Time Series Analysis, 2003, vol. 24, issue 3, 253-267

Abstract: Abstract. This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

Date: 2003
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