Developments in Maximum Likelihood Unit Root Tests
نویسندگان
چکیده
منابع مشابه
Developments in Maximum Likelihood Unit Root Tests
The exact maximum likelihood estimate (MLE) provides a test statistic for the unit root test that is more powerful (Fuller, 1996, p. 577) than the usual least squares approach. In this paper a new derivation is given for the asymptotic distribution of this test statistic that is simpler and more direct than the previous method. The response surface regression method is used to obtain a fast alg...
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ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2013
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610918.2012.655828