Bartlett Correction of the Unit Root Test in Autoregressive Models
โ Scribed by B. Nielsen
- Book ID
- 124299967
- Publisher
- Oxford University Press
- Year
- 1997
- Tongue
- English
- Weight
- 403 KB
- Volume
- 84
- Category
- Article
- ISSN
- 0006-3444
- DOI
- 10.2307/2337477
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests.