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The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes

Published online by Cambridge University Press:  11 February 2009

Rolf Larsson
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Abstract

Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.

Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 2 , February 1995 , pp. 306 - 330
Copyright
Copyright © Cambridge University Press 1995

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References

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