A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

Morten Ørregaard Nielsen ()

Econometric Theory, 2009, vol. 25, issue 06, pages 1515-1544

Abstract: This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing the Breitung (2002, Journal of Econometrics 108, 342 Perron and Dickey Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties.

Date: 2009

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Related works:
Working Paper: A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic (2008)
Working Paper: A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:06:p:1515-1544_99

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