An autoregressive spectral density estimator at frequency zero for nonstationarity tests

Econometric Theory

Volumn 14, Issue 5, 1998, Pages 560-603

  Perron, Pierre ^a,b   Ng, Serena ^c  

^a BOSTON UNIVERSITY   (United States)

^b CRDE   (Canada)

^c BOSTON COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032346856     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466698145024     Document Type: Article

References (28)

1. Andrews, D.W.K. (1991) Heteroskedastic and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-854.
2. Andrews, D.W.K. & J. Monahan (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953-966.
3. Berk, K.N. (1974) Consistent autoregressive spectral estimates. Annals of Statistics 2, 489-502.
4. Campbell, J.Y. & P. Perron (1991) Pitfalls and opportunities: What macroeconomists should know about unit roots. In O.J. Blanchard & S. Fisher (eds.), NBER Macroeconomics Annual, vol. 6, 141-201. Cambridge: MIT Press.
5. Chang, M.C. (1989) Testing for Overdifferencing. Ph.D. Dissertation, North Carolina State University.
6. Chang, M.C. & D.A. Dickey (1994) Recognizing overdifferenced time series. Journal of Time Series Analysis 15, 1-18.
7. DeJong, D.N., J.C. Nankervis, N.E. Savin, & C.H. Whiteman (1992) The power problems of unit root tests in time series with autoregressive errors. Journal of Econometrics 92, 323-343.
8. Fuller, W.A. (1976) Introduction to Statistical Time Series. New York: Wiley.
9. Golub, G.H. & C.F. van Loan (1984) Matrix Computations. Baltimore: John Hopkins University Press.
10. Haug, A.A. (1993) Residual based tests for cointegration: A Monte Carlo study of size distortions. Economics Letters 41, 345-351.
11. Kim, K. & P. Schmidt (1990) Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameters. Economics Letters 34, 345-350.
12. Lee, C.C. & P.C.B. Phillips (1994) An Arma Prewhitened Long-Run Variance Estimator. Manuscript, Yale University.
13. Nabeya, S. & P. Perron(1994) Local asymptotic distributions related to the AR(1) model with dependent errors. Journal of Econometrics 62, 229-264.
14. Ng, S. & P. Perron (1995) Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90, 268-281.
15. Ng, S. & P. Perron (1996) The exact error in estimating the spectral density at the origin. Journal of Time Series Analysis, 17, 379-408.
16. Ng, S. & P. Perron (1997a) Estimation and inference in nearly unbalanced nearly cointegrated systems. Journal of Econometrics 79, 53-81.
17. Ng, S. & P. Perron (1997b) Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Working paper 369, Boston College.
18. Perron, P. (1996) The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors. Journal of Econometrics 70, 317-350.
19. Perron, P. & S. Ng (1996) Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies 63, 435-465.
20. Phillips, P.C.B. (1987) Time series regression with unit roots. Econometrica 55, 277-302.
21. Phillips, P.C.B. & S. Ouliaris (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58, 165-193.
22. Phillips, P.C.B. & P. Perron (1988) Testing for a unit root in time series regression. Biometrika 75, 335-346.
23. Press, W.H., S. Teukolsky, W. Vetterling, & B. Flannery (1992) Numerical Recipes in C, 2nd ed. Cambridge: Cambridge University Press.
24. Said, S.E. & D.A. Dickey (1984) Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika 71, 599-607.
25. Schwert, G.W. (1989) Tests for unit roots, a Monte Carlo investigation. Journal of Business and Economic Statistics 7, 147-160.
26. Stock, J.H. (1990) A Class of Tests for Integration and Cointegration. Manuscript, Harvard University.
27. Stock, J.H. (1994) Unit roots and structural breaks. In R.F. Engle & D. McFadden (eds.), Handbook of Econometrics, vol. IV, ch. 46. Amsterdam: Elsevier.
28. Watson, M.W. (1994) Vector autoregressions and cointegration. In R.F. Engle & D. McFadden (eds.), Handbook of Econometrics, vol. IV, ch. 47. Amsterdam: Elsevier.