Bartlett Corrections for Unit Root Test Statistics

Rolf Larsson

26 citations0/0 files storedJournal of Time Series Analysis

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

Abstract

Bartlett corrections of the log likelihood ratio test for a unit root in an AR(1) process, as well as for some asymptotically equivalent tests, are studied. The corrections are obtained by an analytical method. The numerical performance of the results is checked in a simulation study.

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2000The finite sample distribution of the KPSS test 2009Time Series with Roots on or Near the Unit Circle 1997On the non-existence of a Bartlett correction for unit root tests 2002Approximate Conditional Unit Root Inference

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