On improvements of Phillips-Perron unit root tests using optimal bandwidth estimates

Junsoo Lee () and Dante Mossi

Applied Economics Letters, 1996, vol. 3, issue 3, 197-200

Abstract: The performance of the Phillips and Perron unit root tests is examined using the optimal bandwidth selection procedure of Andrews and the pre-whitening procedure of Andrews and Monahan. It has been shown that they do not make significant improvements over the tests using fixed truncation lags.

Date: 1996
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DOI: 10.1080/135048596356681

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