Lobato, Ignacio N; Robinson, Peter M - In: Review of Economic Studies 65 (1998) 3, pp. 475-95
There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. The authors propose a test for I(0) against...