Abstract
We show that the Phillips (1987) unit root tests have nuisance parameter free limiting distributions when applied to polynomials of integrated processes driven by linear process errors. This substantially generalizes a similar result of Wagner (2012) allowing only for serially uncorrelated errors. The result is based on novel kernel weighted sum limit results involving powers of integrated processes. These results allow us to consider additional modifications of the Phillips (1987) tests applicable to polynomials of integrated processes.
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