Bartlett Corrections for Unit Root Test Statistics

Rolf Larsson

Journal of Time Series Analysis, 1998, vol. 19, issue 4, 425-438

Abstract: Bartlett corrections of the log likelihood ratio test for a unit root in an AR(1) process, as well as for some asymptotically equivalent tests, are studied. The corrections are obtained by an analytical method. The numerical performance of the results is checked in a simulation study.

Date: 1998
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