Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
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Publication:5423181
DOI10.1080/07474930701512055zbMath1122.62078OpenAlexW2133157768MaRDI QIDQ5423181
Publication date: 22 October 2007
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w24/SimAR2.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Cites Work
- Bootstrapping explosive autoregressive processes
- Conditional test for rank in bivariate canonical correlation analysis
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Miscellanea. Bartlett correction of the unit root test in autoregressive models
- On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
- The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
- The limiting distribution of the t-ratio for the unit root test in an AR(1)
- STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
- Properties of sufficiency and statistical tests
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