 On the non-existence of a Bartlett correction for unit root testsJ. L. Jensen and Andrew T. A. Wood Statistics & Probability Letters, 1997, vol. 35, issue 2, 181-187 Abstract: There has been considerable recent interest in testing for a unit root in autoregressive models, especially in the context of cointegration models in econometrics. The likelihood ratio test for a unit root has non-standard asymptotic behaviour. In particular, when the errors are Gaussian, the limiting null distribution of the likelihood ratio statistic, W, is a certain functional of Brownian motion, rather than chi-squared. Moreover, numerical work has shown that the limiting distribution of W is not always a good approximation to the actual distribution. Consequently, there is a need for improved distributional approximations, and the question of whether W admits a Bartlett correction is of interest. In this note we establish that a Bartlett correction does not exist in the simplest unit root model. Keywords: Autoregressive; process; Cointegration; Non-stationary (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:35:y:1997:i:2:p:181-187 Ordering information: This journal article can be ordered from Access Statistics for this article Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul More articles in Statistics & Probability Letters from Elsevier |
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