On the non-existence of a Bartlett correction for unit root tests

DOI10.1016/S0167-7152(97)00012-6zbMath0889.62075OpenAlexW2002204809MaRDI QIDQ1373988

Andrew T. A. Wood, Jens Ledet Jensen

Publication date: 18 June 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(97)00012-6

zbMATH Keywords

Bartlett correctionautoregressive processnon-stationaryunit root modelcointegration models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (5)

Approximate Conditional Unit Root Inference ⋮ BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND ⋮ Jackknife estimation with a unit root ⋮ Bartlett corrections in cointegration testing ⋮ Extreme canonical correlations and high-dimensional cointegration analysis

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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Properties of sufficiency and statistical tests
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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