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003			ZW-GwMSU
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008			240322b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aVogelsang, Timothy J. _eauthor
245	1	0	_aA fixed-b perspective on the Phillips-Perron unit root tests _ccreated by Timothy J. Vogelsang and Martin Wagner
264	1		_aCambridge: _bCambridge University Press, _c2013.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric Theory _vVolume 29, number 3
520	3		_aIn this paper we extend fixed-b asymptotic theory to the nonparametric Phillips–Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These nonpivotal limits provide an alternative theoretical explanation for the well-known finite-sample problems of the PP tests. We also show that the fixed-b limits depend on whether deterministic trends are removed using one-step or two-step detrending approaches. This is in contrast to the asymptotic equivalence of the one- and two-step approaches under a consistency approximation for the long-run variance estimator. Based on these results we introduce modified PP tests that allow for asymptotically pivotal fixed-b inference. The theoretical analysis is cast in the framework of near-integrated processes, which allows us to study the asymptotic behavior both under the unit root null hypothesis and for local alternatives. The performance of the original and modified PP tests is compared by means of local asymptotic power and a small finite-sample simulation study.
650			_anonparametric kernel estimator _vlong run variance _xdetrending
700	1		_aWagner, Martin _eco author
856			_uhttps://doi.org/10.1017/S0266466612000485
942			_2lcc _cJA
999			_c164476 _d164476