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A Nonparametric Test for I(0)

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Author Info
Lobato, Ignacio N
Robinson, Peter M

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Abstract

There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. The authors propose a test for I(0) against fractional alternatives. The test is nonparametric and indeed makes no assumptions on spectral behavior away from zero frequency. It seems likely to have good efficiency against fractional alternatives relative to other nonparametric tests. The test is given large sample justification, subjected to a Monte Carl analysis of finite sample behavior, and applied to various empirical data series. Copyright 1998 by The Review of Economic Studies Limited.

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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 65 (1998)
Issue (Month): 3 (July)
Pages: 475-95
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Handle: RePEc:bla:restud:v:65:y:1998:i:3:p:475-95

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