Bartlett correction of the unit root test in autoregressive models

被引：35
|
作者：
Nielsen, B
机构：
[1] Nuffield College
来源：
BIOMETRIKA | 1997年 / 84卷 / 02期
关键词：
Bartlett correction; Gaussian autoregressive model; moment expansion; unit root;
D O I：
10.1093/biomet/84.2.500
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.
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页码：500 / 504
页数：5
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