ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

Seiji Nabeya

25 citations0/0 files storedEconometric Theory

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Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

Abstract

For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

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References

1988Testing for a Unit Root in Time Series Regression 1987Time Series Regression with a Unit Root 1987Towards a Unified Asymptotic Theory for Autoregression 1981Testing For Unit Roots: 1 1993The Limiting Distribution of the Autocorrelation Coefficient under a Unit Root 1993Ols Bias in a Nonstationary Autoregression 1995The Limiting Distribution of the t Ratio Under a Unit Root 1990Limiting power of unit-root tests in time-series regression

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2012Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization 2001APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS

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