Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
نویسندگان
چکیده
In a first order autoregressive model with drift, we derive the likelihood ratio test for a unit root against the stationary alternative. We also derive the test in a state space model with trend. Finite sample and asymptotic critical values are obtained by Monte Carlo simulations. A simulation study investigates the power performance of the likelihood ratio test and we also examine how a bias correction of the test affects the results.
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ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 36 شماره
صفحات -
تاریخ انتشار 2007