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Bartlett Correction of the Unit Root test in Autoregressive Models

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  • Nielsen, B.

Abstract

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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 98.

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Length: 8 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:nuf:econwp:98
Contact details of provider: Web page: https://www.nuffield.ox.ac.uk/economics/

Keywords: UNIT ROOTS; TESTS; ECONOMIC MODELS;

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  1. Abadir, Karim M., 1995. "Unbiased estimation as a solution to testing for random walks," Economics Letters, Elsevier, vol. 47(3-4), pages 263-268, March.
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Cited by:

  1. Bent Nielsen & Lars Hougaard Hansen, 2004. "Two sided analysis of variance with a latent time series," Economics Series Working Papers 2004-W25, University of Oxford, Department of Economics.
  2. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
  3. Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
  4. Bent Nielsen & J. James Reade, 2004. "Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second Order Autoregression," Economics Series Working Papers 2004-W24, University of Oxford, Department of Economics.
  5. Bent Nielsen & Eric Engler, 2007. "The empirical process of autoregressive residuals," Economics Papers 2007-W01, Economics Group, Nuffield College, University of Oxford.
  6. Jan J. J. Groen, 2000. "New Multi-Country Evidence on Purchasing Power Parity: Multi-Variate Unit Root Test Results," Econometric Society World Congress 2000 Contributed Papers 0269, Econometric Society.
  7. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
  8. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
  9. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.

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