๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Effects of data aggregation on the power of tests for a unit root: A simulation study

โœ Scribed by In Choi


Book ID
116101425
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
303 KB
Volume
40
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


On the Power of GLS-Type Unit Root Tests
โœ Peter Burridge; A. M. Robert Taylor ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 339 KB
On the non-existence of a Bartlett corre
โœ J.L. Jensen; Andrew T.A. Wood ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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