SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS

DOI10.1017/S0266466610000629zbMath1226.62083MaRDI QIDQ3100980

Patrick Marsh

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

62E15: Exact distribution theory in statistics

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