This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test …

between a nonparametric estimate and a smoothed parametric counterpart. The asymptotic distribution of the test statistic … under the parametric specification is proportional to that of a local-time random variable with a known distribution. In …

A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error … the error term as unknown, and estimates them by suitable empirical distribution functions. Then a pseudolikelihood is … than the parametric methods available when the error distribution is unknown, which is almost always the case in practice …

chosen model. We suggest using simulation and the kernel density estimator instead of assuming a parametric distribution for … variance and error distribution, and when an economic cycle is introduced into the model. We find that the procedure has …