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Unit roots: Periodogram ordinate

Author

Listed:
  • Bhattacharyya, B.B.
  • Richardson, G.D.
  • Flores, P.V.

Abstract

The periodogram ordinate is used to define an asymptotic test for the testing problem H0:[alpha]=1 vs. HA:[alpha]

Suggested Citation

  • Bhattacharyya, B.B. & Richardson, G.D. & Flores, P.V., 2006. "Unit roots: Periodogram ordinate," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 641-651, March.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:6:p:641-651
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    References listed on IDEAS

    as
    1. B. Bhattacharyya & X. Li & M. Pensky & G. Richardson, 2000. "Testing for Unit Roots in a Nearly Nonstationary Spatial Autoregressive Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(1), pages 71-83, March.
    2. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    3. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    4. Pantula, Sastry G, 1991. "Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 63-71, January.
    5. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    6. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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