Article ID Journal Published Year Pages File Type
5060413 Economics Letters 2012 5 Pages PDF
Abstract
► Compute the limiting distribution of the first order serial correlation coefficient and its t-statistic for polynomials of unit root processes. ► Simulate the distributions for special cases in which they do not depend on nuisance parameters. ► Exemplify and illustrate conservativeness of standard tests applied to powers of unit root processes with small simulation.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The Phillips unit root tests for polynomials of integrated processes
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