BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND

Noud P.A. van Giersbergen

Econometric Theory, 2009, vol. 25, issue 03, pages 857-872

Abstract: Bartlett corrections are derived for testing hypotheses about the autoregressive parameter . In the models with deterministic terms, the correction factor is asymmetric in and tends to infinity when approaches the stability boundary of + 1. Simulation results indicate that the Bartlett corrections are useful in controlling the size of the likelihood ratio statistic in small samples, although these corrections are not the ultimate panacea.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:03:p:857-872_09

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