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Computationally efficient double bootstrap variance estimation
Karlsson, Sune; Lothgren, Mickael - In: Computational Statistics & Data Analysis 33 (2000) 3, pp. 237-247
Persistent link: https://www.econbiz.de/10005130780
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A likelihood ratio type test for invertibility in moving average processes
Larsson, Rolf - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 489-501
A new test for invertibility of moving average processes is proposed. The test is based on an explicit local approximation of the likelihood ratio. A simulation study compares the power with two previously suggested tests: a score type test and a numerical likelihood ratio test. Local to the...
Persistent link: https://www.econbiz.de/10010871477
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Numerical aspects of a likelihood ratio test statistic for cointegrating rank
Jacobson, Tor; Larsson, Rolf - In: Computational Statistics & Data Analysis 23 (1997) 4, pp. 453-465
Persistent link: https://www.econbiz.de/10005130486
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Bartlett corrections in cointegration testing
Jacobson, Tor; Larsson, Rolf - In: Computational Statistics & Data Analysis 31 (1999) 2, pp. 203-225
Persistent link: https://www.econbiz.de/10005165485