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Bartlett Corrections for Unit Root Test Statistics

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  • Rolf Larsson

Abstract

Bartlett corrections of the log likelihood ratio test for a unit root in an AR(1) process, as well as for some asymptotically equivalent tests, are studied. The corrections are obtained by an analytical method. The numerical performance of the results is checked in a simulation study.

Suggested Citation

  • Rolf Larsson, 1998. "Bartlett Corrections for Unit Root Test Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 425-438, July.
    • Handle: RePEc:bla:jtsera:v:19:y:1998:i:4:p:425-438
    DOI: 10.1111/1467-9892.00101
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    Cited by:

    1. Onatski, Alexei & Wang, Chen, 2019. "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
    2. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    3. Noud P.A. van Giersbergen, 2013. "Bartlett correction in the stable second‐order autoregressive model with intercept and trend," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 482-498, November.
    4. Alexei Onatski & Chen Wang, 2018. "Alternative Asymptotics for Cointegration Tests in Large VARs," Econometrica, Econometric Society, vol. 86(4), pages 1465-1478, July.
    5. Jacobson, Tor & Larsson, Rolf, 1999. "Bartlett corrections in cointegration testing," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 203-225, August.
    6. Chambers, Marcus J. & Kyriacou, Maria, 2013. "Jackknife estimation with a unit root," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1677-1682.
    7. Hernández Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," Working Papers 2016-03, Banco de México.
    8. Hernández, Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," MPRA Paper 100857, University Library of Munich, Germany.

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