frequency zero spectrum estimation in unit root tests
Posted: 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
Does T in this formula mean the number of all observations or the number of observations excluding missing values?
Irina