THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS

DOI10.1017/S0266466609990284zbMath1179.62124MaRDI QIDQ3652622

Patrick Marsh

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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Bootstrap point optimal unit root tests ⋮ The role of information in nonstationary regression ⋮ SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS

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