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Normalizations for periodogram-based unit root tests

Author

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  • Evans, Barry A.
  • Dickey, David A.

Abstract

We explore a periodogram-based unit root test that is invariant to nonzero means and invariant to nuisance parameters in the error series. We present modifications to account for trends and deterministic seasonal components.

Suggested Citation

  • Evans, Barry A. & Dickey, David A., 2002. "Normalizations for periodogram-based unit root tests," Statistics & Probability Letters, Elsevier, vol. 60(4), pages 343-350, December.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:4:p:343-350
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    References listed on IDEAS

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    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
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