A Solution to Boundary and Sign Problems of Unit Root Test

by

Write The First Customer Review

Usual test of testing unit root tests such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) tests ignore sign and boundary parameters. Ignorance of these problems may results in unusual estimate and test results. This paper demonstrates the ignorance of sign and boundary of parameters and consequences in estimation and hypothesis test by Monte Carlo simulation. This work proposes a distance-based optimum solution for testing unit root subject to ...

A Solution to Boundary and Sign Problems of Unit Root Test 2012, LAP Lambert Academic Publishing

ISBN-13: 9783659306402

Trade paperback

Select