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• W2251775602 abstract "This study establishes analytically what the asymptotic behavior of the Dickey-Fuller coefficient tests and the Dickey-Fuller t-statistic tests will be when the true data-generating process is a trigonometric function of an integrated process. Using some recently established limit theorems, it is shown that for such a data generating process, the asymptotic behavior of these unit root tests is reminiscent of that of a stationary series. These results confirm analytically the conclusions of Granger and Hallman in an earlier paper. The results of this paper are applied to the Fourier flexible form methodology." @default.
• W2251775602 created "2016-06-24" @default.
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• W2251775602 date "2013-03-01" @default.
• W2251775602 modified "2023-09-28" @default.
• W2251775602 title "Unit root tests when the data are a trigonometric transformation of an integrated process" @default.
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