A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS

DOI10.1017/S0266466699152046zbMath0964.62088OpenAlexW2112767277MaRDI QIDQ4512732

Francesco Bravo

Publication date: 19 July 2001

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

Full work available at URL: https://doi.org/10.1017/s0266466699152046

zbMATH Keywords

likelihood ratio testMonte Carlo studiesAR(1) processmoment expansions

Mathematics Subject Classification ID

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

Related Items (4)

BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND ⋮ Jackknife estimation with a unit root ⋮ Bartlett corrections in Birnbaum–Saunders nonlinear regression models ⋮ Adjusted estimates and Wald statistics for the AR(1) model with constant

This page was built for publication: A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS