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Distribution approximation of unit root tests in autoregressive models

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  • ROLF LARSSON

Abstract

The present work applies saddlepoint approximation to calculate the left-hand tail of the distribution of the unit root t test and an asymptotic equivalent test under the null hypothesis of a unit root. (This is the tail of interest when testing against a stationary alternative.) The saddlepoint equation is solved numerically. Distribution approximations are obtained both in the asymptotic and finite-sample cases. In the finite-sample case, two slightly different methods are suggested and compared.

Suggested Citation

  • Rolf Larsson, 1998. "Distribution approximation of unit root tests in autoregressive models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 10-26.
    • Handle: RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:10-26
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    Cited by:

    1. Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
    2. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.

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    Keywords

    Unit root test; Saddlepoint approximation.;

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