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  • An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests 

    Perron, Pierre; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)
    Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression ...