Distribution approximation of unit root tests in autoregressive models

DOI10.1111/1368-423X.12015zbMath1104.62327MaRDI QIDQ4415852

Rolf Larsson

Publication date: 7 August 2003

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS

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