This paper introduces tests for residual serial correlation in cointegrating regressions. The tests are devised in the frequency domain by using the spectral measure estimates. The asymptotic distributions of the tests are derived and test consistency is established. The asymptotic distributions...

The author develops tests for a unit root based on the Durbin-Hausman principle. The ordinary least squares estimator and the pseudo instrumental variables estimator using the current variable as an instrument are employed to formulate test statistics. The limit distributions of these tests are...

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...