An Improved Nonparametric Unit-Root Test

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

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Year of publication:	2012-08
Authors:	Gao, Jiti ; King, Maxwell
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Autoregression \| nonparametric unit?root test \| nonstationary time series \| specification testing

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 16/12 24 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010860412