Distribution Approximation Of Unit Root Tests In Autoregressive Models  

Oleh:

Sentana, Enrique

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 1 no. 2 (1998), page 1-9.
Topik: Unit root test; Saddlepoint approximation.
Fulltext: 1.pdf (130.91KB)

Isi artikel

The present work applies saddlepoint approximation to calculate the left-hand tail of the distribution of the unit root t test and an asymptotic equivalent test under the null hypothesis of a unit root. (This is the tail of interest when testing against a stationary alternative.) The saddlepoint equation is solved numerically. Distribution approximations are obtained both in the asymptotic and finite-sample cases. In the finite-sample case, two slightly different methods are suggested and compared.

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