Miscellanea. Bartlett correction of the unit root test in autoregressive models

1 June 1997

journal article
research article
Published by Oxford University Press (OUP) in Biometrika

Vol. 84 (2) , 500-504
https://doi.org/10.1093/biomet/84.2.500

Abstract

The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.

Keywords

BARLETT CORRECTION
GAUSSIAN AUTOREGRASSIVE MODEL
MOMENT EXPANSION
UNIT ROOT

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