Econometrics Paper
A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)
Ignacio Lobato and Peter M Robinson
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-consiste...Read more...