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Bartlett Correction In The Stable Ar(1) Model With Intercept And Trend

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Author Info
van Giersbergen, Noud P.A.
Abstract

Bartlett corrections are derived for testing hypotheses about the autoregressive parameter . In the models with deterministic terms, the correction factor is asymmetric in and tends to infinity when approaches the stability boundary of + 1. Simulation results indicate that the Bartlett corrections are useful in controlling the size of the likelihood ratio statistic in small samples, although these corrections are not the ultimate panacea.

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File URL: http://journals.cambridge.org/abstract_S0266466609090690
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 03 (June)
Pages: 857-872
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Handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:857-872_09

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This page was last updated on 2009-12-20.

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