Author

Aidan Wardak

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Preprint Sep 2026

A Characterization of the $M$-tests Under Nearly Integrated Nearly White Noise

We derive the limiting distributions of the $M$-test family of unit root statistics in the nearly integrated nearly white noise (NINW) framework introduced by Nabeya and Perron (1994) in the case of an unknown linear time trend. In the case of known long run variance (LRV), the limiting distributions of the $M^{GLS}$ t...

Aidan Wardak, Sayar Karmakar · 0 citations