The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes
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.
Year of publication: |
1995
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Authors: | Larsson, Rolf |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 11.1995, 02, p. 306-330
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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