Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter

DOI10.1016/0165-1765(90)90143-OMaRDI QIDQ806888zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 1990

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(90)90143-o

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Approximate Fourier analysis of distribution functions
• Checks of model adequacy for univariate time series models and their application to econometric relationships
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• Mathematical Considerations in the Estimation of Spectra
• Testing for a unit root in the presence of moving average errors
• Testing for a unit root in time series regression

Cited in

(5)

• On the power of stationarity tests using optimal bandwidth estimates
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Linear process bootstrap unit root test
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• On the power of durbin-watson statistic against fractionally integrated processes

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