Haldrup, Niels (contributor); Jansson, Michael (contributor) - 2005
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is that this ensures a consistent unit root test [e.g., Stock (1999)]. The construction
(13) decouples estimation of ….
Unscisctsc Roscosctscssc 9
appear to have much improved size properties compared to any other unit root test.
Moreover … unit root test can be compared.
For instance, the fact that the M-tests discussed in the previous Section have local …