Sökning: onr:"swepub:oai:DiVA.org:uu-21252" >
Testing for unit ro...
Testing for unit root against stationarity using the likelihood ratio test
-
- Angelov, Nikolay (författare)
- Uppsala universitet,Nationalekonomiska institutionen
-
- Larsson, Rolf (författare)
- Uppsala universitet,Statistik
-
(creator_code:org_t)
- Informa UK Limited, 2007
- 2007
- Engelska.
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 36:2, s. 391-412
- Relaterad länk:
-
https://urn.kb.se/re...
-
visa fler...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- In a first order autoregressive model with drift, we derive the likelihood ratio test for a unit root against the stationary alternative. We also derive the test in a state space model with trend. Finite sample and asymptotic critical values are obtained by Monte Carlo simulations. A simulation study investigates the power performance of the likelihood ratio test and we also examine how a bias correction of the test affects the results.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- unit root
- LR test
- stationary alternative
- Statistics
- Statistik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas