NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC

James Davidson (), Jan R. Magnus and Jan Wiegerinck

Econometric Theory, 2008, vol. 24, issue 05, pages 1443-1455

Abstract: We consider the Breitung (2002, Journal of Econometrics 108, 343 n, which provides a nonparametric test of the I(1) hypothesis. If n as n , we prove (Theorem 1) that 0 2, a result that holds under any assumption on the underlying random variables. The result is a special case of a more general result (Theorem 3), which we prove using the so-called cotangent method associated with Cauchy's residue theorem.

Date: 2008

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