frequency zero spectrum estimation in unit root tests

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irulishka
Posts: 45
Joined: Fri Jun 03, 2011 9:38 am

frequency zero spectrum estimation in unit root tests

Postby irulishka » Thu Sep 13, 2012 10:02 pm

It seems that in formula 13.21 from EViews 7 User’s Guide II for f_0 (Kernel Sum-of-Covariances estimation for frequency zero spectrum) the number of observation T depends on the existence of missing values.
Does T in this formula mean the number of all observations or the number of observations excluding missing values?

Irina
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: frequency zero spectrum estimation in unit root tests

Postby EViews Glenn » Fri Sep 14, 2012 3:40 pm

Missings are not counted as observations.
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