A MODIFICATION OF THE SCHMIDT-PHILLIPS UNIT-ROOT TEST

被引：27

作者：

SCHMIDT, P

LEE, JS

机构：

[1] Michigan State University, East Lansing

来源：

ECONOMICS LETTERS | 1991年 / 36卷 / 03期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0165-1765(91)90034-I

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A unit root test proposed recently by Schmidt and Phillips is based on a regression that can be rewritten in such a way that the intercept equals zero in the population. Here we consider the test that results from setting the intercept to zero. The comparison of its power to that of the Schmidt-Phillips and Dickey-Fuller tests depends on the value of an initial condition. Monte Carlo results indicate that. the new test is not generally more powerful than the Schmidt-Phillips test. © 1991.

引用

页码：285 / 289

页数：5