A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
By Pierre Perron, Zhongjun Qu. 2007
232 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/39a290ce279883c0bd4311eb30059cb441b8a4c1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Dukpa Kim
- Josep Lluís Carrion‐i‐Silvestre
- Pierre Perron
- Muhammad Shahbaz
- Alan M. Taylor
- S. Leybourne
- David I. Harvey
- Tomoyoshi Yabu
In Management Science and Operations Research
In Statistics and Probability
- Dukpa Kim
- Josep Lluís Carrion‐i‐Silvestre
- Pierre Perron
- Muhammad Shahbaz
- M. Wohar
- Serena Ng
- David E. Rapach
- Alan M. Taylor
Citations in the corpus
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (2009, unknown): “…implementations of DF-QDμ and DF-QDτ , the number of lagged difference terms, p, included in the ADF regression is determined by application of the MAIC procedure of Ng and Perron (2001) with maximum lag length set at pmax = 12(T/100)1/4 , using the modification suggested by Perron and Qu (2007).”
- GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, methodology): “The order of the autoregression k is selected using the modified information criteria suggested by Ng and Perron (2001) with the modification proposed by Perron and Qu (2007).”
- GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, unknown): “The order of the autoregression k is selected using the modified information criteria suggested by Ng and Perron (2001) with the modification proposed by Perron and Qu (2007).”