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An Alternative Unit Root Test Statistic Based on Least Squares Estimator
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 Title & Authors
An Alternative Unit Root Test Statistic Based on Least Squares Estimator
Shin, Key-Il;
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 Abstract
Efforts to obtain more power for unit root tests have continued. Pantula at el.(1994) compared empirical powers of several unit root test statistics and addressed that the weighted symmetric estimator(WSE) and the unconditional maximum likelihood estimator(UMLE) are the best among them. One can easily see that the powers of these two statistics are almost the same. In this paper we explain a connection between WSE and UMLE and suggest a unit root test statistic which may explain the connection between them.
 Keywords
Unit root test;Unconditional maximum likelihood estimator;Weighted symmetric estimator;
 Language
Korean
 Cited by
1.
A Cointegration Test Based on Weighted Symmetric Estimator,;;

Communications for Statistical Applications and Methods, 2005. vol.12. 3, pp.797-805 crossref(new window)
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