紀要論文 Size Improvements In Unit Root Tests For Time Series With Serially Correlated Errors

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39 ( 2 )  , pp.73 - 97 , 2015-11-30 , 広島大学経済学会
ISSN:0386-2704
NII書誌ID(NCID):AN00213519
内容記述
This paper proposes a few nonparametric tests to reduce severe size distortions in the Phillips-Perron tests. It is shown that these lead to noticeable improvements by including terms that slowly converge to zero in asymptotic approximations.
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http://ir.lib.hiroshima-u.ac.jp/files/public/3/39804/20160421110303942216/HER_39-2_73.pdf

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