Distribution approximation of unit root tests in autoregressive models

Rolf Larsson

Econometrics Journal, 1998, vol. 1, issue RegularPapers, 10-26

Abstract: The present work applies saddlepoint approximation to calculate the left-hand tail of the distribution of the unit root t test and an asymptotic equivalent test under the null hypothesis of a unit root. (This is the tail of interest when testing against a stationary alternative.) The saddlepoint equation is solved numerically. Distribution approximations are obtained both in the asymptotic and finite-sample cases. In the finite-sample case, two slightly different methods are suggested and compared.

Keywords: Unit root test; Saddlepoint approximation. (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:10-26

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