Malik, Muhammad Irfan - In: International Econometric Review (IER) 7 (2015) 2, pp. 51-63
Ng and Perron (2001) designed a unit root test, which incorporates the properties of DF-GLS and Phillips Perron test. Ng and Perron claim that the test performs exceptionally well especially in the presence of a negative moving average. However, the performance of the test depends heavily on the...