Testing for a unit root in an AR(1) model using three and four moment approximations: Symmetric distributions

Communications in Statistics Part B: Simulation and Computation

Volumn 27, Issue 1, 1998, Pages 185-198

  Tiku, Moti L ^a,b   Wong, Wing Keung ^c  

^a MCMASTER UNIVERSITY   (Canada)

^b WILFRID LAURIER UNIVERSITY   (Canada)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Chi square distribution; F distribution; Hypothesis testing; Likelihood function; Modified likelihood; Time series; Unit root

Indexed keywords

EID: 0042222567     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610919808813474     Document Type: Article

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