Unit roots: Periodogram ordinate

The periodogram ordinate is used to define an asymptotic test for the testing problem H0:α=1H0:α=1 vs. HA:|α|<1HA:|α|<1 under appropriate assumptions on the model Yt=αYt-1+εt-θεt-1Yt=αYt-1+εt-θεt-1, where θθ is near one. A drift term is also included in the model. An independent and identically distributed error structure as well as one exhibiting long memory are studied.