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

  • Jerome Adda
  • Jesus Gonzalo

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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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
Date of revision:
Handle: RePEc:fth:bosecd:61
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  1. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  2. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
  3. James G. MacKinnon, 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Working Papers 861, Queen's University, Department of Economics.
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