ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

Seiji Nabeya

Econometric Theory, 1999, vol. 15, issue 01, pages 139-149

Abstract: For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

Date: 1999
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