Modification of the point optimal unit root test

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.

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Year of publication:	2009
Authors:	Vougas, Dimitrios
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 4, p. 349-352
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005467972