Müller, Ulrich K. - School of Economics and Political Science, Universität … - 2002
and Shin (1992), standard stationarity employs a rescaling by an estimator of the long-run variance of the (potentially … autocorrelated in a local-to-unity asymptotic framework. It is shown that the behavior of the tests strongly depends on the long-run … variance estimator employed, but is in general highly undesirable. Either the tests fail to control for size even for strongly …