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A Characterization of the $M$ -tests Under Nearly Integrated Nearly White NoiseA Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise

Aidan Wardak · Sayar Karmakar首次提交 2026-09-24 · 修订 2026-09-24 · v1arXiv预印本

近积分近白噪声框架下 M 类单位根检验的刻画AI 解读

We derive the limiting distributions of the $M$ -test family of unit root statistics in the nearly integrated nearly white noise (NINW) framework introduced by Nabeya and Perron (1994) in the case of an unknown linear time trend. In the case of known long run variance (LRV), the limiting distributions of the $M^{GLS}$ tests are contaminated by additional noise terms as a result of quasi differencing whereas these terms are less present in the $M^{OLS}$ limiting distributions,…We derive the limiting distributions of the $M$-test family of unit root statistics in the nearly integrated nearly white noise (NINW) framework introduced by Nabeya and Perron (1994) in the case of an unknown linear time trend. In the case of known long run variance (LRV), the limiting distributions of the $M^{GLS}$ tests are contaminated by additional noise terms as a result of quasi differencing whereas these terms are less present in the $M^{OLS}$ limiting distributions,…

宏观 · 时间序列单位根与协整

关联记录被引 0 次 ↗OpenAlex · 核验 2026-10-01

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A Characterization of the MMM-tests Under Nearly Integrated Nearly White NoiseA Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise

A Characterization of the $M$ -tests Under Nearly Integrated Nearly White NoiseA Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise