Let Yt satisfy the stochastic difference equation Yt=Σ j=1 pα jYt-j+Σ j=1 qθ jet-j+et, for t = 1,2,..., where et are independent and identically distributed random variables with mean zero and ...

During the past 15 years, the ordinary least squares estimator and the corresponding pivotal statistic have been widely used for testing the unit-root hypothesis in autoregressive processes. Recently, ...