Approximate Conditional Unit Root Inference

DOI10.1111/1467-9892.01505zbMath1001.62027OpenAlexW3125988075MaRDI QIDQ4544835

Henrik Hansen, Anders Rahbek

Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.01505

zbMATH Keywords

likelihood ratio testunit rootsprofile likelihoodconditional likelihoodBartlett correctionssmall sample corrections

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD ⋮ On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

Cites Work

• Trend stationarity in the \(I(2)\) cointegration model.
• On the non-existence of a Bartlett correction for unit root tests
• Bartlett corrections in cointegration testing
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Bartlett Corrections for Unit Root Test Statistics
• On bartlett and bartlett-type corrections francisco cribari-neto

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