Distribution approximation of unit root tests in autoregressive models
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Cited in
(11)- Distribution theory for unit root tests with conditional heteroskedasticity
- Lag optimisation and finite-sample size distortion of unit root tests
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
- The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- Finite-sample distribution of a recursively mean-adjusted panel data unit root test
- Approximation to the finite sample distribution of a sufficient estimator of the coefficient in a non-stationary AR(1) model
- Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions
- The limiting distribution of the t-ratio for the unit root test in an AR(1)
- scientific article; zbMATH DE number 815756 (Why is no real title available?)
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