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A note on the unit root test based on the sample autocorrelations

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University of Peiraeus   

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Spoudai - Journal of Economics and Business   

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A note on the unit root test based on the sample autocorrelations (EL)
A note on the unit root test based on the sample autocorrelations (EN)
Αγιακλόγλου, Χρήστος Ν.
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)
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Οικονομική ανάλυση (EL)
Οικονομετρία (EL)
Economic analysis (EN)
Econometrics (EN)
University of Peiraeus
Spoudai - Journal of Economics and Business
Scientific Papers
Σπουδαί - Journal of Economics and Business
English
1996-01-01
https://spoudai.unipi.gr/index.php/spoudai/article/view/1046
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)



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