Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
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Publication:3100980
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Cites work
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Distribution approximation of unit root tests in autoregressive models
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- Efficient Tests for an Autoregressive Unit Root
- Heteroskedastic time series with a unit root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Limiting power of unit-root tests in time-series regression
- Marginal likelihood and unit roots
- Moving-average representation of autoregressive approximations
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Saddle point approximation for the distribution of the sum of independent random variables
- Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios
- Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
- Saddlepoint approximation for the least squares estimator in first-order autoregression
- Saddlepoint approximations for marginal and conditional probabilities of transformed variables
- Sieve bootstrap for smoothing in nonstationary time series
- THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
- Tail Probability Approximations
- Testing for a unit root in the presence of a possible break in trend
- Testing for a unit root in time series regression
- The available information for invariant tests of a unit root
- The limiting distribution of the autocorrelation coefficient under a unit root
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
Cited in
(6)- Distribution approximation of unit root tests in autoregressive models
- Modified saddlepoint density estimates
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Bootstrap point optimal unit root tests
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
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