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Applied Economics Letters Volume 3, 1996 - Issue 3
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Original Articles

On improvements of Phillips-Perron unit root tests using optimal bandwidth estimates

Junsoo Lee
&
Dante Mossi
Pages 197-200 | Published online: 07 Oct 2010
 
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Abstract

The performance of the Phillips and Perron unit root tests is examined using the optimal bandwidth selection procedure of Andrews and the pre-whitening procedure of Andrews and Monahan. It has been shown that they do not make significant improvements over the tests using fixed truncation lags.

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