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P-Values for Non-Standard Distributions with an Application to the DF Test

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Author Info
Jerome Adda
Jesus Gonzalo

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Abstract

The 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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Publisher Info
Paper provided by Boston University, Institute for Economic Development in its series Boston University - Institute for Economic Development with number 61.

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Date of creation: May 1995
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Handle: RePEc:fth:bosecd:61

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  1. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
    Other versions:
  2. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics. [Downloadable!]
    Other versions:
  3. Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June. [Downloadable!]
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This page was last updated on 2009-11-20.

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