Testing for Unit Root in AR(1) Model Using Three and Four Moment Approximations

Autor:	Moti L. Tiku, Wing-Keung Wong
Rok vydání:	2018
Předmět:	Moment (mathematics) symbols.namesake Autoregressive model Mathematical analysis symbols Unit root Likelihood function Chi-squared distribution Mathematics F-distribution Statistical hypothesis testing
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3106610
Popis:	Three-moment chi-square and four moment F approximations are given which can be used for testing a unit root in AR(1) model when the innovations have one of a very wide family of symmetric distributions (Student's t).
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cae575cf7fd6fa85e27c628c2f84f49c https://doi.org/10.2139/ssrn.3106610 Zobrazit plný text záznamu