Unit root tests when the data are a trigonometric transformation of an integrated process
نویسندگان
چکیده
This paper establishes analytically what the asymptotic behavior of the DickeyFuller 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 conclusions of those authors were based on a Monte Carlo simulation study. JEL numbers: C22; C32
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