P-Values for Non-Standard Distributions with an Application to the DF Test

Jerome Adda () and Jesus Gonzalo

Boston University - Institute for Economic Development from Boston University, Institute for Economic Development

Abstract: The literature of unit roots and structural breaks has produced numerous tests that follow non-standard asymptotic distributions. This paper by fitting a seminonparametric model to them proposes a new simple way of calculating the p-values.

Date: 1995-05
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Journal Article: P-Values for non-standard distributions with an application to the DF test (1996)
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