Department of Economics
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).
Unit root, time series, likelihood function, modified likelihood, chi-square distribution, F distribution, hypothesis testing
Source Publication Title
Communications in Statistics - Simulation and Computation
Taylor & Francis
Link to Publisher's Edition
Tiku, M., & Wong, W. (1998). Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions. Communications in Statistics - Simulation and Computation, 27 (1). https://doi.org/10.1080/03610919808813474