Size and power properties of powerful unit root tests in the presence of variance breaks
Year of publication: |
2003
|
---|---|
Authors: | Cook, Steven |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 317.2003, 3, p. 432-448
|
Publisher: |
Elsevier |
Subject: | Unit root tests | Size distortion | Weighted symmetric estimator | Recursive mean adjustment | Monte Carlo simulation |
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