This paper examines the behavior of the proposed by Bierens (1993) unit root test based on the
sample autocorrelations when the true generating process contains one moving average term. The performance
of the test is investigated first by applying the test to the means of the sample autocorrelations
obtained as a ratio of two quadratic forms in normal deviates and second by using a Monte Carlo study to
support the previously obtained theoretical results.
(EN)
Οικονομική ανάλυση
(EL)
Οικονομετρία
(EL)
Economic analysis
(EN)
Econometrics
(EN)
Σπουδαί - Journal of Economics and Business
English
University of Piraeus
(EN)
1105-8919
2241-424X
SPOUDAI - Journal of Economics and Business; Vol 46, No 1-2 (1996)
(EN)
Copyright (c) 1996 SPOUDAI - Journal of Economics and Business
(EN)