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Normalizations for periodogram-based unit root tests

✍ Scribed by Barry A Evans; David A Dickey

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 106 KB
Volume: 60
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00154-2

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✦ Synopsis

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 modiÿcations to account for trends and deterministic seasonal components.

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