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Exact tests in single equation autoregressive distributed lag models

Journal of Econometrics· 1997-10-01· article· 58 citationsclosed

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Jan F. Kiviet, Jean‐Marie Dufour (1997). Exact tests in single equation autoregressive distributed lag models. Journal of Econometrics. https://doi.org/10.1016/s0304-4076(97)00048-1

@article{f1997exact,
  title  = {Exact tests in single equation autoregressive distributed lag models},
  author = {Kiviet, Jan F. and Dufour, Jean‐Marie},
  year   = {1997},
  journal = {Journal of Econometrics},
  doi    = {10.1016/s0304-4076(97)00048-1}
}

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1990Seasonal integration and cointegration

1984Testing for Unit Roots in Seasonal Time Series

1979Barnard's Monte Carlo Tests: How Many Simulations?

1996Exact tests for structural change in first-order dynamic models

1998Exact Inference Methods for First-Order Autoregressive Distributed Lag Models