Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that...

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments.