Normalizations for periodogram-based unit root tests

We explore a periodogram-based unit root test that is invariant to nonzero means and invariant to nuisance parameters in the error series. We present modifications to account for trends and deterministic seasonal components.

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Year of publication:	2002
Authors:	Evans, Barry A. ; Dickey, David A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 4, p. 343-350
Publisher:	Elsevier
Keywords:	Unit root Frequency domain Deterministic periodic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319276