Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure (Q622451): Difference between revisions

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Latest revision as of 16:55, 3 July 2024

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Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure
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    Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure (English)
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    31 January 2011
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    ADF test statistic
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    asymptotic expansion
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    Bartlett correction
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    chi-square approximation
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    nonnormality
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    null distribution
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    testing for linear covariance structure
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