ISSN:
1572-9052
Keywords:
Approximation error
;
unit root test
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract This paper investigates the asymptotics of the log likelihood ratio test for a unit root in an autoregressive (AR) process of general order. The main result is that the expectation and variance (in fact, all moments) of the test statistic may, to the order of T-1, where T is the number of observations, be approximated by the expectation and variance of the corresponding test in an AR(1) process. This result has obvious implications for the asymptotics of unit root tests for panels. An explicit formula for the approximation error of a test in an AR(2) process is also given.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1003445229753
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