AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
针对单位根和协整检验中常用的核谱密度估计量在误差强负相关时偏差大的问题，提出一种自回归谱密度估计量，模拟和局部渐近分析表明其偏差和均方误差更小。
Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero of some process. Commonly used are kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. In this paper, we first show that this least-squares bias induces a significant increase in the bias and mean-squared error (MSE) of kernel-based estimators. We then consider a variant of the autoregressive spectral density estimator that does not share these shortcomings because it bypasses the use of the estimate from the AR(1) regression. Simulations and local asymptotic analyses show its bias and MSE to be much smaller than those of a kernel-based estimator when there is strong negative serial correlation. We also include a discussion about the appropriate choice of the truncation lag.