The limiting distribution of the t-ratio for the unit root test in an AR(1)

DOI10.1111/1368-423X.00065zbMath0995.62015OpenAlexW2118883265MaRDI QIDQ4549737

Franz Dietrich

Publication date: 23 October 2002

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

Full work available at URL: https://doi.org/10.1111/1368-423x.00065

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (1)

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression

This page was built for publication: The limiting distribution of the t-ratio for the unit root test in an AR(1)