Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

Three-moment chi-square and four moment F approximations are given which can be used for testing a unit root in an AR(1) model when the innovations have one of a very wide family of symmetric distributions (Student's t).

Publication Year

1998

Journal Title

Communications in Statistics - Simulation and Computation

Volume number

27

Issue number

1

Publisher

Taylor & Francis

First Page (page number)

185

Last Page (page number)

198

Referreed

1

DOI

10.1080/03610919808813474

ISSN (print)

0361-0918

Link to Publisher’s Edition

http://dx.doi.org/10.1080/03610919808813474

Keywords

Unit root, time series, likelihood function, modified likelihood, chi-square distribution, F distribution, hypothesis testing

Included in

Economics Commons

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