Abstract
Finite-sample critical values of Robinson's (1994) tests are evaluated in this article by means of Monte-Carlo simulations. The finite-sample behaviour of the tests, based on these finite-sample critical values is compared with those based on asymptotic results and with a number of leading unit root tests. The Monte-Carlo results indicate that the tests perform better when the finite-sample critical values are used and thus, they should be employed rather than the asymptotic ones, especially when working with small samples. An empirical application is also carried out, at the end of the article, comparing the results in both cases.
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