Affordable Access

deepdyve-link
Publisher Website

The Phillips unit root tests for polynomials of integrated processes

Authors
  • Stypka, Oliver
  • Wagner, Martin
Publication Date
Jan 01, 2018
Identifiers
DOI: 10.17877/DE290R-19115
OAI: oai:eldorado.tu-dortmund.de:2003/37119
Source
Eldorado - Ressourcen aus und für Lehre, Studium und Forschung
Keywords
Language
English
License
Unknown

Abstract

We show that the Phillips (1987) unit root tests have nuisance parameter free limiting dis- tributions when applied to polynomials of integrated processes driven by linear process errors. This substantially generalizes a similar result of Wagner (2012) allowing only for serially uncor- related errors. The result is based on novel kernel weighted sum limit results involving powers of integrated processes. These results allow us also consider additional modifications of the Phillips (1987) tests applicable to polynomials of integrated processes.

Report this publication

Statistics

Seen <100 times