A simple modification to improve the finite sample properties of Ng and Perron's unit root tests

Economics Letters

Volumn 94, Issue 1, 2007, Pages 12-19

  Perron, Pierre ^a   Qu, Zhongjun ^b  

^a Boston University   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

GLS detrending; Information criteria; Integrated processes; Truncation lag

Indexed keywords

EID: 33845475207     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2006.06.009     Document Type: Article

References (4)

1. Elliott G., Rothenberg T.J., and Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
2. Haldrup N., and Jansson M. "Improving size and power in unit root testing". In: Patterson K., and Mills T.C. (Eds). Palgrave Handbook of Econometrics. Vol. 1: Econometric Theory, Palgrave Macmillan (2006) 252-277
3. Ng S., and Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 (2001) 1519-1554
4. Seo, M.H., 2005. "Improving unit root tests by a generalization of the autoregressive spectral density estimator at frequency zero," Unpublished Manuscript, Department of Economics, London School of Economics.