|
BOOTSTRAPPING THE HEGY SEASONAL UNIT ROOT TESTS
Category: Econometrics
BOOTSTRAP METHODS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.9
Session Chair(s):
James Davidson, Cardiff Business School, UNITED KINGDOM
|
Abstract:
|
Bootstrapping the HEGY tests is shown to produce superior size control and no power loss compared to the use of published critical values, both in the presence of serial correlation and periodic heteroscedasticity in the driving shocks.
|
|
|
|
|
Find this file in the
\Papers\110\
folder of this CD-ROM.
|
|
|
Customise
|
Customise your Event Programme to include your favourite papers, and email details of papers to friends and colleagues with the
online Programme
|
|
|
