On improvements of Phillips-Perron unit root tests using optimal bandwidth estimates

The performance of the Phillips and Perron unit root tests is examined using the optimal bandwidth selection procedure of Andrews and the pre-whitening procedure of Andrews and Monahan. It has been shown that they do not make significant improvements over the tests using fixed truncation lags.

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Year of publication:	1996
Authors:	Lee, Junsoo ; Mossi, Dante
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 3.1996, 3, p. 197-200
Publisher:	Taylor & Francis Journals

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

Persistent link: https://www.econbiz.de/10005435230