Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test

Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test

We provide simulation evidence that shed light on several size and power issues in relation to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are considered-the Modified AIC (MAIC) approach and a sequential General to Specific (GS) testing approach Either one of th...

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Bibliographic Details
Main Authors: Su, Jen-je, Cheung, Adrian, Roca, Eduardo
Format: Journal Article
Published: Science Publications 2013
Subjects:
General-To-Specific - Sequential T-Test
Monte Carlo Simulation
Modified AIC
Augmentation Lag
(Nonlinear) Unit Root Test
Online Access:http://hdl.handle.net/20.500.11937/37310

Internet

http://hdl.handle.net/20.500.11937/37310

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