Kunst, Robert M.; Franses, Philip Hans - 2009
statistics imposes
the constraint pj ≥ 12.
Thus, for the N variables X1t,...,XNt some common structure
holds across the cross …,...,5,
there is a unit root at exp(ikpi/6). The particular unit-root events
can then be checked empirically by t– and F–statistics …, again with
non-standard asymptotic laws. The t– and F–statistics for the tests
on the unit roots at exp(ikpi/6) will be …