caa a22 4500 397544936 CHVBK 20180308164736.0 cr unu---uuuuu 161202e199607 xx s 000 0 eng 10.2307/2297890 doi (NATIONALLICENCE)oxford-10.2307/2297890 Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties [Elektronische Daten] [Pierre Perron, Serena Ng] Many unit root tests have distorted sizes when the root of the error process is close to the unit circle. This paper analyses the properties of the Phillips-Perron tests and some of their variants in the problematic parameter space. We use local asymptotic analyses to explain why the Phillips-Perron tests suffer from severe size distortions regardless of the choice of the spectral density estimator but that the modified statistics show dramatic improvements in size when used in conjunction with a particular formulation an autoregressive spectral density estimator. We explain why kernel based spectral density estimators aggravate the size problem in the Phillips-Perron tests and yield no size improvement to the modified statistics. The local asymptotic power of the modified statistics are also evaluated. These modified statistics are recommended as being useful in empirical work since they are free of the size problems which have plagued many unit root tests, and they retain respectable power. © 1996 The Review of Economic Studies Limited Perron Pierre Université de Montreal aut Ng Serena Université de Montreal aut The Review of Economic Studies Wiley-Blackwell 63/3(1996-07), 435-463 0034-6527 63:3<435 1996 63 restud https://doi.org/10.2307/2297890 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2297890 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Perron Pierre Université de Montreal aut NATIONALLICENCE 700 1- Ng Serena Université de Montreal aut NATIONALLICENCE 773 0- The Review of Economic Studies Wiley-Blackwell 63/3(1996-07), 435-463 0034-6527 63:3<435 1996 63 restud Metadata rights reserved CC BY-NC-4.0 http://creativecommons.org/licenses/by-nc/4.0 nationallicence SWISSBIB 216808162 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-oxford