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

DOI10.1080/07474930701512055zbMath1122.62078OpenAlexW2133157768MaRDI QIDQ5423181

J. James Reade, Bent Nielsen

Publication date: 22 October 2007

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

Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w24/SimAR2.pdf

zbMATH Keywords

simulationunit root testexplosive autoregression

Mathematics Subject Classification ID

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

Cites Work

• Bootstrapping explosive autoregressive processes
• Conditional test for rank in bivariate canonical correlation analysis
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
• The limiting distribution of the t-ratio for the unit root test in an AR(1)
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• Properties of sufficiency and statistical tests

This page was built for publication: Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression