Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives |
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| Authors: | ANDREW P BLAKE & GEORGE KAPETANIOS |
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| Affiliation: | National Institute of Economic and Social Research |
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| Abstract: | Abstract. This paper describes artificial neural network based pure significance tests for the unit root hypothesis against nonlinear alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken. |
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| Keywords: | Artifical neural network nonlinearity unit roots |
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