Modification of the point optimal unit root test

Dimitrios Vougas

Applied Economics Letters, 2009, vol. 16, issue 4, 349-352

Abstract: A modification of the existing point optimal unit root test is proposed. The new test has very good finite sample power and is easily correctable via semi-parametric methods. Critical values are provided along with power simulation and empirical examples.

Date: 2009
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DOI: 10.1080/13504850601018635

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