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Optimization of tests with a correction for the observation time

โœ Scribed by O. T. Mar'yanovich

Book ID
105057891
Publisher
Springer US
Year
1983
Tongue
English
Weight
365 KB
Volume
19
Category
Article
ISSN
1573-8337

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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