THE ASYMPTOTIC DISTRIBUTIONS OF SOME TEST STATISTICS IN NEAR-INTEGRATED AR PROCESSES

Authors
LARSSON R
Citation
R. Larsson, THE ASYMPTOTIC DISTRIBUTIONS OF SOME TEST STATISTICS IN NEAR-INTEGRATED AR PROCESSES, Econometric theory, 11(2), 1995, pp. 306-330
Citations number
17
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
11
Issue
2
Year of publication
1995
Pages
306 - 330
Database
ISI
SICI code
0266-4666(1995)11:2<306:TADOST>2.0.ZU;2-0
Abstract
Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution funct ions are given as well as approximative results obtained by saddlepoin t approximation techniques.