New unit root tests of the Nelson-Plosser data

Weighted symmetric and GLS tests for unit roots are applied to the fourteen time series tested by Nelson and Plosser in 1982. Due to the greater power of these two tests, unit roots are rejected for three to five of the series.

MoreLess

Year of publication:	2002
Authors:	McNown, Robert ; Puttitanun, Thitima
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 1, p. 9-11
Publisher:	Taylor & Francis Journals

More details

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

Persistent link: https://www.econbiz.de/10005265582