The Phillips unit root tests for polynomials of integrated processes
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Date
2018
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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.
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Keywords
integrated process, polynomial transformation, Phillips unit root tests