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Distributional Characteristics of PP-Test Statistics on Small Samples
Author(s): ZHOU Min, LIN Fu-ming
Pages: 108-
111
Year: 2015
Issue:
5
Journal: Journal of Southwest University(Natural Science)
Keyword: unit root; PP test; Monte Carlo simulation;
Abstract: PP test is an important type of tests for unit roots ,w hich ,combined with DF and ADF ,consti-tutes the core method of unit root testing .However ,there are few studies about the stability of PP tests in small sample cases .In this paper ,we investigate PP distribution with a sample size no larger than 55 by Monte Carlo simulation and give a critical table for PP tests with a test level of 0.01 ,0.05 or 0.1 .Some a-nalysis about the test power of PP statistics is provided .
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