On the Size Properties of Phillips-Perron Tests

DOI10.1111/1467-9892.00125zbMath0923.62096OpenAlexW2081916013MaRDI QIDQ4258765

Paul Newbold, Stephen J. Leybourne

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

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

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