Heteroskedasticity and autocorrelation consistent (HAC) estimation commonly involves the use of prewhitening filters based on simple autoregressive models. In such applications, small sample bias in the estimation of autoregressive coefficients is transmitted to the recolouring filter, leading...

type="main" xml:id="obes12026-abs-0001" <title type="main">Abstract</title> <p>This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the...</p>

Ploberger and Phillips ("Econometrica", Vol. 71, pp. 627-673, 2003) proved a result that provides a bound on how close a fitted empirical model can get to the true model when the model is represented by a parameterized probability measure on a finite dimensional parameter space. The present note...