A unit root test based on the modified least squares estimator
A unit root test based on the modified least squares (MLS) estimator for first-order autoregressive process is proposed and compared with unit root tests based on the ordinary least squares (OLS), the weighted symmetric (WS) and the modified weighted symmetric (MWS) estimators. The percentiles of th...
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| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
Universiti Kebangsaan Malaysia
2014
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| Acesso em linha: | http://journalarticle.ukm.my/7826/1/20_Wararit.pdf |