Unit root test in a semiparametric model
Abstract (Presence of unit root in time series data is implicated in the persistent effect of random shocks in the behavior of a model, leading most unit root tests to be incorrectly-sized or have low power or both. A nonparametric test for the presence of unit root is proposed. To mitigate the poss...
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| Format: | Thesis |
| Language: | English |
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