Exact tests in single equation autoregressive distributed lag models

DOI10.1016/S0304-4076(97)00048-1zbMath0904.62135OpenAlexW1965405678WikidataQ126297389 ScholiaQ126297389MaRDI QIDQ1371376

Jan F. Kiviet, Jean-Marie Dufour

Publication date: 28 October 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00048-1

zbMATH Keywords

unit rootstructural changeexact inferenceMonte Carlo testdynamic regressionARX modelorder of dynamics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

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Uses Software

• bootstrap

Cites Work

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