THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS

DOI10.1017/S0266466609990284zbMath1179.62124MaRDI QIDQ3652622

Patrick Marsh

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items

Bootstrap point optimal unit root tests, The role of information in nonstationary regression, SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS

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