On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend

DOI10.1023/A:1003131215117zbMATH Open0938.62099OpenAlexW2032324523MaRDI QIDQ1293728FDOQ1293728

Authors: Rolf Larsson 

Publication date: 13 June 2000

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003131215117

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zbMATH Keywords

unit root testautoregression with trend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (4)

• Title not available (Why is that?)
• Closed forms for asymptotic bias and variance in autoregressive models with unit roots
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
• Bartlett corrections in cointegration testing

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