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

DOI10.1023/A:1003131215117MaRDI QIDQ1293728zbMATHOpenAlexFDO

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

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)

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(4)

• scientific article; zbMATH DE number 1911754 (Why is no real title available?)
• Closed forms for asymptotic bias and variance in autoregressive models with unit roots
• Bartlett corrections in cointegration testing
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root

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