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P-values for non-standard distributions with an application to the DF test

Jerome Adda and Jesus Gonzalo ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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

Keywords: DF; tests; Non-standard; distributions; P-values; SNP; approximations; Unit; roots (search for similar items in EconPapers)
Date: 1996-01
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https://e-archivo.uc3m.es/bitstream/handle/10016/4541/ws960602.pdf?sequence=1 (application/pdf)

Related works:
Journal Article: P-Values for non-standard distributions with an application to the DF test (1996) Downloads
Working Paper: P-Values for Non-Standard Distributions with an Application to the DF Test (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:4541

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