Testing for a unit root by frequency domain regression

DOI10.1016/0304-4076(93)90026-2zbMath0786.62090OpenAlexW1990379297MaRDI QIDQ1314478

V. Pereyra

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

zbMATH Keywords

consistencyMonte Carlo simulationspowersizeautoregressive time serieslimit distributionssize distortionspectral estimatesfinite samplesnegative serial correlationassumption of weakly stationary errorsfrequency domain teststesting for unit rootstime domain procedures

Mathematics Subject Classification ID

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)

SPECTRAL FINANCIAL ECONOMETRICS ⋮ Spectral approach to parameter-free unit root testing ⋮ Asymptotic theory for a stochastic unit root model ⋮ Wavelet variance ratio cointegration test and wavestrapping ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ Wavelet energy ratio unit root tests ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

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