Saddlepoint and estimated saddlepoint approximations for optimal unit root tests

DOI10.1017/S0266466610000629zbMATH Open1226.62083MaRDI QIDQ3100980FDOQ3100980

Publication date: 22 November 2011

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

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Cites Work

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Moving-average representation of autoregressive approximations
Sieve bootstrap for smoothing in nonstationary time series
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Testing for a unit root in time series regression
Towards a unified asymptotic theory for autoregression
Time Series Regression with a Unit Root
Saddle point approximation for the distribution of the sum of independent random variables
Tail Probability Approximations
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A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
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
THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios
The available information for invariant tests of a unit root

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
A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
Bootstrap point optimal unit root tests

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