A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
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Publication:2495837
DOI10.1016/j.jspi.2004.10.022zbMath1090.62092OpenAlexW2028787809MaRDI QIDQ2495837
Jose A. Roldan, Rafaela Dios-Palomares
Publication date: 30 June 2006
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2004.10.022
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
Related Items (3)
A unified unit root test regardless of intercept ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model
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