Limit distributions of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift

DOI10.3785/J.ISSN.1008-9497.2008.06.005MaRDI QIDQ3402963zbMATH OpenFDO

Authors Xiao Rong Yang, Lixin Zhang

Publication date 12 February 2010

zbMATH Keywords

Wiener processesF-statistic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cited in

(2)

• Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent

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