Bhattacharyya, B.B.; Richardson, G.D.; Flores, P.V. - In: Statistics & Probability Letters 76 (2006) 6, pp. 641-651
The periodogram ordinate is used to define an asymptotic test for the testing problem H0:[alpha]=1 vs. HA:[alpha]1 under appropriate assumptions on the model Yt=[alpha]Yt-1+[epsilon]t-[theta][epsilon]t-1, where [theta] is near one. A drift term is also included in the model. An independent and...