Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken. Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	BLAKE, ANDREW P. ; KAPETANIOS, GEORGE
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 3, p. 253-267
Publisher:	Wiley Blackwell

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

Persistent link: https://www.econbiz.de/10005260737