Cheung, Yin-Wong; Lai, Kon S. - In: Econometric Theory 13 (1997) 05, pp. 679-691
This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the...