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Biometrika 1997 84(2):500-504; doi:10.1093/biomet/84.2.500
© 1997 by Biometrika Trust
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MISCELLANEA

Bartlett correction of the unit root test in autoregressive models

B. NIELSEN

Nuffield College Oxford OX1 1NF, U.K. e-mail: bent.nielsent{at}nuf.ox.ac.uk

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.

Key Words: Barlett correction • Gaussian autoregrassive model • Moment expansion • Unit root


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