THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS

DOI10.1017/S0266466609990284zbMath1179.62124MaRDI QIDQ3652622

Patrick Marsh

Publication date: 15 December 2009

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

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F03: Parametric hypothesis testing

Related Items

The role of information in nonstationary regression, Bootstrap point optimal unit root tests, SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS

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