On the non-existence of a Bartlett corre
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J.L. Jensen; Andrew T.A. Wood
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Article
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1997
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Elsevier Science
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English
โ 358 KB
There has been considerable recent interest in testing for a unit root in autoregressive models, especially in the context of cointegration models in econometrics. The likelihood ratio test for a unit root has non-standard asymptotic behaviour. In particular, when the errors are Gaussian, the limiti