Castro, Tomás del Barrio; Rodrigues, Paulo M.M.; … - Centro de Estudos e Formação Avançada em Gestão e … - 2013
Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots...