Testing for unit root against stationarity using the likelihood ratio test

被引：0

作者：

Angelov, Nikolay ^{[1
]}

Larsson, Rolf

机构：

[1] Uppsala Univ, Dept Econ, Uppsala, Sweden

[2] Uppsala Univ, Dept Stat, Uppsala, Sweden

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2007年 / 36卷 / 02期

关键词：

LR test; stationary alternative; unit root;

D O I：

10.1080/03610910601158401

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In a first-order autoregressive model with drift, we derive the likelihood ratio test for a unit root against the stationary alternative. We also derive the test in a state space model with trend. Finite sample and asymptotic critical values are obtained by Monte Carlo simulations. A simulation study investigates the power performance of the likelihood ratio test and we also examine how a bias correction of the test affects the results.

引用

页码：391 / 412

页数：22

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