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, Moti L, and Wing Keung Wong. "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 (1998): 185-198.