Semiparametric unit root tests based on symmetric estimators

Abstract

Based on symmetric estimation and the weighted symmetric estimation of Pantula et al. (1994) and Park and Fuller (1995), new semiparametric tests for testing a unit root under the general situation of Phillips (1987) and Phillips and Perron (1988) are developed. A Monte-Carlo simulation shows that the new tests have better power than the semiparametric tests of Phillips (1987) and Phillips and Perron (1988), under first-order moving average errors.