The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process

DOI10.1023/A:1003445229753zbMath0898.62112OpenAlexW1979918954MaRDI QIDQ1388160

Rolf Larsson

Publication date: 11 June 1998

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003445229753

zbMATH Keywords

unit rootapproximation errorautoregressive (AR) process of general orderlog likelihood ratio test

Mathematics Subject Classification ID

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

Related Items (2)

Bartlett corrections in cointegration testing ⋮ On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

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