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  • A general bound for the limiting distribution of Breitung's statistic 

    Davidson, James; Magnus, Jan R.; Wiegerinck, Jan (Cambridge University Press, 2008-10)
    We consider the Breitung (2002, Journal of Econometrics 108, 343–363) statistic ξn, which provides a nonparametric test of the I(1) hypothesis. If ξ denotes the limit in distribution of ξn as n → ∞, we prove (Theorem 1) ...