This is just a sample of what I'll be spending most of my time reading this semester:
"Since we will be interested in departures from the maintained hypothesis that innovations "e" are i.i.d., we also include the heteroskedastic-consistent unit root test of Phillips and Perron (1988). This test does not rely on a "nite order AR, but instead employs a correction for serial correlation based in part on the spectral representation of the innovation sequence at frequency zero. The quadratic spectral kernel is used to estimate the spectrum, and Andrews' (1991) procedure is used to determine the number of autocovariance terms used. The Phillips}Perron (PP) test has the same limiting distribution as ADF."
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1 comment:
post more about this topic as you delve into it more. por favor!
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