On the Size Properties of Phillips-Perron Tests

DOI10.1111/1467-9892.00125zbMATH Open0923.62096OpenAlexW2081916013MaRDI QIDQ4258765FDOQ4258765

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

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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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• 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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