On the Size Properties of Phillips-Perron Tests

DOI10.1111/1467-9892.00125MaRDI QIDQ4258765zbMATH OpenOpenAlexFDO

Authors Stephen Leybourne, Paul Newbold

Publication date 14 September 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00125

zbMATH Keywords

simulationsunit root testsPhillips-Perron testasymptotic levelsaccuracy of nominal size

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(6)

• Linear process bootstrap unit root test
• scientific article; zbMATH DE number 5663588 (Why is no real title available?)
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• On the asymptotic \(t\)-test for large nonstationary panel models
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors

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