A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS

DOI10.1017/S0266466699152046MaRDI QIDQ4512732zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Bartlett Corrections for Unit Root Test Statistics
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
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Cited in

(8)

• Bartlett correction in the stable second-order autoregressive model with intercept and trend
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Bartlett corrections in Birnbaum–Saunders nonlinear regression models
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• Jackknife estimation with a unit root
• BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
• Bartlett corrections in cointegration testing
• Unit-root detection allowing for measurement error

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