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Applied Economics Letters Volume 9, 2002 - Issue 1
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Original Articles

New unit root tests of the Nelson-Plosser data

Robert McNown
&
Thitima Puttitanun
Pages 9-11 | Published online: 06 Oct 2010
 
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Abstract

Weighted symmetric and GLS tests for unit roots are applied to the fourteen time series tested by Nelson and Plosser in 1982. Due to the greater power of these two tests, unit roots are rejected for three to five of the series.

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