We consider the Breitung (2002, Journal of Econometrics 108, 343 n, which provides a nonparametric test of the I(1) hypothesis. If n as n , we prove (Theorem 1) that 0 2, a result that holds under any assumption on the underlying random variables. The result is a special case of a more general result (Theorem 3), which we prove using the so-called cotangent method associated with Cauchy's residue theorem.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 24 (2008) Issue (Month): 05 (October) Pages: 1443-1455 Download reference. The following formats are available: HTML
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