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Details for article 9 of 14 found articles
| Title: |
Empirical evidence on the robustness of the weighted symmetric unit root test |
| Author: |
Cook, Steven |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 10 (2003) nr. 12 pages 761-763 |
| Year: |
2003-10 |
| Contents: |
Recent research has shown the Dickey-Fuller (Econometrica, 49, pp. 1057-72, 1979) test to suffer severe size distortion in the presence of structural breaks under the unit root null hypothesis. In contrast, further theoretical results have suggested the weighted symmetric Dickey-Fuller test to be robust to such breaks. In this study, the empirical results of the seminal study of Leybourne et al. (Journal of Econometrics, 87, pp. 191-203, 1998) are revisited to provide an empirical illustration of the robustness of the weighted symmetric Dickey-Fuller test to structural breaks. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 9 of 14 found articles
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