Normalizations for periodogram-based unit root tests.

DOI10.1016/S0167-7152(02)00154-2zbMath1045.62083MaRDI QIDQ1871345

Barry A. Evans, David A. Dickey

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Unit rootFrequency domainDeterministic periodic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Seasonal integration and cointegration
• Pfriodograms of unit root time series: distributions and tests
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