Normalizations for periodogram-based unit root tests

Barry A. Evans and David Dickey

Statistics & Probability Letters, 2002, vol. 60, issue 4, 343-350

Abstract: We explore a periodogram-based unit root test that is invariant to nonzero means and invariant to nuisance parameters in the error series. We present modifications to account for trends and deterministic seasonal components.

Keywords: Unit; root; Frequency; domain; Deterministic; periodic (search for similar items in EconPapers)
Date: 2002
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