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TESTING FOR A UNIT-ROOT BY FREQUENCY-DOMAIN REGRESSION
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DOI：10.1016/0304-4076(93)90026-2.png)
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Frequency domain tests for the presence of a unit root are developed. Their limit distributions are derived under the assumption of weakly stationary errors and are free of nuisance parameters. Results on test consistency are also reported. Monte Carlo simulations are performed to study the size and power of the proposed tests in finite samples. The computations indicate that the frequency domain tests have stable size and good power in finite samples for a variety of error-generating mechanisms. We conclude that the frequency domain tests have some good performance characteristics in relation to time domain procedures, although they are also susceptible to size distortion when there is negative serial correlation in the errors.
Keyword:
AUTOREGRESSIVE TIME-SERIES
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4
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5.3K
被引数:
3.0W
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