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

1 February 1999

journal article
Published by Cambridge University Press (CUP) in Econometric Theory

Vol. 15 (01) , 139-149
https://doi.org/10.1017/s0266466699151077

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.

Keywords

MODELS
DRIFT
TRUE
AUTOREGRESSION
ASYMPTOTIC
ROOT TEST STATISTICS
UNIT ROOT TEST

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