A Generalization of the Burridge-Guerre Non-Parametric Unit Root

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dc.contributor.author García, A.
dc.contributor.author Sansó, A.
dc.date.accessioned 2020-04-22T06:44:11Z
dc.identifier.uri http://hdl.handle.net/11201/152083
dc.description.abstract [eng] In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705-723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful comments from an anonymous referee. We gratefully acknowledge the financial support of the Ministerio de Ciencia y Tecnología and the Conselleria d'Economia, Hisenda i Innovació, grants BEC2002-03769 and PRIB-2004-10095, respectively.
dc.format application/pdf
dc.relation.isformatof Reproducció del document publicat a: https://doi.org/10.1017/S026646660606035X
dc.relation.ispartof Econometric Theory, 2006, vol. 22, num. 4, p. 756-761
dc.subject.classification 33 - Economia
dc.subject.other 33 - Economics. Economic science
dc.title A Generalization of the Burridge-Guerre Non-Parametric Unit Root
dc.type info:eu-repo/semantics/article
dc.type info:eu-repo/semantics/publishedVersion
dc.date.updated 2020-04-22T06:44:11Z
dc.date.embargoEndDate info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo 2026-12-31
dc.rights.accessRights info:eu-repo/semantics/embargoedAccess
dc.identifier.doi https://doi.org/10.1017/S026646660606035X

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