Testing for a unit root by frequency domain regression
DOI10.1016/0304-4076(93)90026-2zbMath0786.62090OpenAlexW1990379297MaRDI QIDQ1314478
Publication date: 16 February 1994
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(93)90026-2
consistencyMonte Carlo simulationspowersizeautoregressive time serieslimit distributionssize distortionspectral estimatesfinite samplesnegative serial correlationassumption of weakly stationary errorsfrequency domain teststesting for unit rootstime domain procedures
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Asymptotic properties of parametric tests (62F05)
Related Items (9)
Cites Work
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