On the non-existence of a Bartlett correction for unit root tests

DOI10.1016/S0167-7152(97)00012-6MaRDI QIDQ1373988zbMATH OpenOpenAlexFDO

Authors Andrew T. A. Wood, Jens Ledet Jensen

Publication date 18 June 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(97)00012-6

zbMATH Keywords

Bartlett correctionautoregressive processnon-stationaryunit root modelcointegration models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Recommendations

• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• Bartlett Corrections for Unit Root Test Statistics
• A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS
• A Bartlett correction factor for tests on the cointegrating relations
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND

Cites work

• scientific article; zbMATH DE number 3740555 (Why is no real title available?)
• scientific article; zbMATH DE number 846102 (Why is no real title available?)
• scientific article; zbMATH DE number 222647 (Why is no real title available?)
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• Bartlett Corrections for Unit Root Test Statistics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On the level-error after Bartlett adjustment of the likelihood ratio statistic
• Optimal Inference in Cointegrated Systems
• Properties of sufficiency and statistical tests
• Saddlepoint approximations
• Statistical analysis of cointegration vectors
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(7)

• Bartlett correction in the stable second-order autoregressive model with intercept and trend
• Extreme canonical correlations and high-dimensional cointegration analysis
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
• A Bartlett correction factor for tests on the cointegrating relations
• Approximate Conditional Unit Root Inference
• Bartlett corrections in cointegration testing
• Jackknife estimation with a unit root

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