P-Values for Non-Standard Distributions with an Application to the DF Test
AbstractThe literature of unit roots and structural breaks has produced numerous tests that follow non-standard asymptotic distributions. This paper by fitting a seminonparametric model to them proposes a new simple way of calculating the p-values.
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Bibliographic InfoPaper provided by Boston University, Institute for Economic Development in its series Boston University - Institute for Economic Development with number 61.
Date of creation: May 1995
Date of revision:
Other versions of this item:
- Adda, Jerome & Gonzalo, Jesus, 1996. "P-Values for non-standard distributions with an application to the DF test," Economics Letters, Elsevier, vol. 50(2), pages 155-160, February.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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