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Bartlett Corrections for Unit Root Test Statistics

โœ Scribed by Rolf Larsson


Book ID
108549337
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
187 KB
Volume
19
Category
Article
ISSN
0143-9782

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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