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The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process

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  • Rolf Larsson

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  • Rolf Larsson, 1998. "The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(1), pages 29-48, March.
    • Handle: RePEc:spr:aistmt:v:50:y:1998:i:1:p:29-48
    DOI: 10.1023/A:1003445229753
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    References listed on IDEAS

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    1. Abadir, Karim M., 1995. "The Limiting Distribution of the t Ratio Under a Unit Root," Econometric Theory, Cambridge University Press, vol. 11(4), pages 775-793, August.
    2. repec:cup:etheor:v:11:y:1995:i:4:p:775-93 is not listed on IDEAS
    3. Abadir, K.M., 1992. "The Limiting Distribution of the T Ratio Under a Unit Root," Papers 1992-2, American Cairo - Economics and Political Sciences.
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    Cited by:

    1. Jacobson, Tor & Larsson, Rolf, 1999. "Bartlett corrections in cointegration testing," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 203-225, August.

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    Keywords

    Approximation error; unit root test;

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