Bartlett correction of the unit root test in autoregressive models

被引：35

作者：

Nielsen, B

机构：

[1] Nuffield College

来源：

BIOMETRIKA | 1997年 / 84卷 / 02期

关键词：

Bartlett correction; Gaussian autoregressive model; moment expansion; unit root;

D O I：

10.1093/biomet/84.2.500

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.

引用

页码：500 / 504

页数：5

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