Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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).

Keywords

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

Publication Date

1998

Source Publication Title

Communications in Statistics - Simulation and Computation

Volume

27

Issue

1

Start Page

185

End Page

198

Publisher

Taylor & Francis

Peer Reviewed

1

DOI

10.1080/03610919808813474

Link to Publisher's Edition

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

ISSN (print)

03610918

Included in

Economics Commons

Share

COinS