Testing for unit root against stationarity using the likelihood ratio test
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
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.
unit root, LR test, stationary alternative
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-21252DOI: 10.1080/03610910601158401ISI: 000245361200011OAI: oai:DiVA.org:uu-21252DiVA: diva2:49025