Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis
Ng and Perron (2001) designed a unit root test, which incorporates the properties of DFGLS and Phillips Perron test. Ng and Perron claim that the test performs exceptionally well especially in the presence of a negative moving average. However, the performance of the test depends heavily on the ch...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2015-09-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/20110103.pdf |