The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes

Rolf Larsson

Econometric Theory, 1995, vol. 11, issue 2, 306-330

Abstract: Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.

Date: 1995
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