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An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests

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  • Perron, P.
  • Ng, S.

Abstract

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. In this paper, we first show that this least squares bias induces a significant increase in the bias and mean-squared error of kernel-based estimators.

Suggested Citation

  • Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  • Handle: RePEc:mtl:montec:9611
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    Keywords

    EVALUATION; ECONOMETRICS; TESTS;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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