Testing the autoregressive parameter with the t statistic

DOI10.1016/0304-4076(85)90084-3zbMath0556.62093OpenAlexW1977862808MaRDI QIDQ761000

N. E. Savin, John C. Nankervis

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90084-3

zbMATH Keywords

random walk hypothesisconstruction of exact non-similar testsGaussian first-order autoregressive processsmall sigma asymptotic result

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• NAG
• nag
• AS 76

Cites Work

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