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

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  • Jerome Adda
  • Jesus Gonzalo

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.

Suggested Citation

  • Jerome Adda & Jesus Gonzalo, 1995. "P-Values for Non-Standard Distributions with an Application to the DF Test," Boston University - Institute for Economic Development 61, Boston University, Institute for Economic Development.
    • Handle: RePEc:fth:bosecd:61
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    References listed on IDEAS

    as
    1. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
    2. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 167-176, April.
    3. MacKinnon, James G., 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Queen's Economics Department Working Papers 273255, Queen's University - Department of Economics.
    4. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
    5. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
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    Cited by:

    1. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
    2. Jushan Bai & Josep Lluís Carrion-I-Silvestre, 2009. "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 471-501.
    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.
    4. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
    5. Pui Sun Tam, 2013. "Finite-sample distribution of the augmented Dickey--Fuller test with lag optimization," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3495-3511, August.
    6. Habibi Reza, 2011. "A note on approximating distribution functions of cusum and cusumsq tests," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 1-10, January.

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