uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Testing for unit root against stationarity using the likelihood ratio test
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Information Science, Statistics.
2007 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 36, no 2, 391-412 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2007. Vol. 36, no 2, 391-412 p.
Keyword [en]
unit root, LR test, stationary alternative
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-21252DOI: 10.1080/03610910601158401ISI: 000245361200011OAI: oai:DiVA.org:uu-21252DiVA: diva2:49025
Available from: 2006-12-18 Created: 2006-12-18 Last updated: 2017-12-08Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Larsson, Rolf

Search in DiVA

By author/editor
Larsson, Rolf
By organisation
Department of EconomicsStatistics
In the same journal
Communications in statistics. Simulation and computation
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 569 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf