Vogelsang, Timothy J.; Wagner, Martin - In: Econometric Theory 29 (2013) 03, pp. 609-628
In this paper we extend fixed-<italic>b</italic> asymptotic theory to the nonparametric Phillips–Perron (PP) unit root tests. We show that the fixed-<italic>b</italic> limits depend on nuisance parameters in a complicated way. These nonpivotal limits provide an alternative theoretical explanation for the well-known...