Perron, Pierre; Vogelsang, Timothy J - In: Journal of Business & Economic Statistics 10 (1992) 4, pp. 467-70
This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the...