Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure (Q622451)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure |
scientific article |
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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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