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dc.contributor.authorSu, JJ
dc.contributor.authorCheung, AWK
dc.contributor.authorRoca, E
dc.date.accessioned2017-05-03T11:42:15Z
dc.date.available2017-05-03T11:42:15Z
dc.date.issued2013
dc.date.modified2013-08-22T23:46:11Z
dc.identifier.issn1549-3644
dc.identifier.doi10.3844/jmssp.2013.102.111
dc.identifier.urihttp://hdl.handle.net/10072/52729
dc.description.abstractWe provide simulation evidence that shed light on several size and power issues in relation to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are considered - the modified AIC (MAIC) approach of Ng and Perron (1995) and a sequential General to Specific (GS) testing approach proposed by Ng and Perron (2001). Either one of these approaches can be used to select the optimal lag based on either the augmented linear Dickey Fuller test or the augmented nonlinear KSS test, resulting in four possible selection methods, namely, MAIC, GS, NMAIC and NGS. The evidence suggests that the asymptotic critical values of the KSS test tends to result in over-sizing if the (N)GS method is used and under-sizing if the (N)MAIC method is utilised. Thus, we recommend that the critical values should be generated from finite samples. We also find evidence that the (N)MAIC method has less size distortion than the (N)GS method, suggesting that the MAIC-based KSS test is preferred. Interestingly, the MAIC-based KSS test with lag selection based on the linear ADF regression is generally more powerful than the test with lag selection based on the nonlinear version.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent130144 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.publisherScience Publications
dc.publisher.placeUnited States
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom102
dc.relation.ispartofpageto111
dc.relation.ispartofissue2
dc.relation.ispartofjournalJournal of Mathematics and Statistics
dc.relation.ispartofvolume9
dc.rights.retentionY
dc.subject.fieldofresearchApplied Statistics
dc.subject.fieldofresearchPure Mathematics
dc.subject.fieldofresearchStatistics
dc.subject.fieldofresearchcode010401
dc.subject.fieldofresearchcode0101
dc.subject.fieldofresearchcode0104
dc.titleLag Selection of the Augmented Kapetanios-Shin-Snell Nonlinear Unit Root Test
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© The Author(s) 2013. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this journal please refer to the journal’s website or contact the authors.
gro.date.issued2013
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.
gro.griffith.authorSu, Jen-Je


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