An Improved Nonparametric Unit–Root Test Jiti Gao and Maxwell King An Improved Nonparametric Unit–Root Test
نویسنده
چکیده
This paper proposes a simple and improved nonparametric unit–root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
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