This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure introduces a bias in the estimation. In this paper, we show that for usually sample sizes used in Econometrics, this bias is sufficiently important to invalidate the use of such non-parametric tests. We report support to this conclusion both analytically and using Monte Carlo experiments.
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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
16.
Length: 0 pages Date of creation: 1997 Date of revision: Handle: RePEc:bar:bedcje:199716
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain. Web page: http://www.ere.ub.es More information through EDIRC
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing