Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28
confidence interval construction. We show that a properly normalized statistic based on the AH estimating equation, which we call … close to unity, our procedure activates intervals whose width shrinks to zero at a faster rate than that of the confidence … interval based on the M statistic. Only when both of our unit root tests reject the null hypothesis does our procedure turn to …