BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
Bartlett corrections are derived for testing hypotheses about the autoregressive parameter <italic>ρ</italic> in the stable (a) AR(1) model, (b) AR(1) model with intercept, (c) AR(1) model with intercept and linear trend. The correction is found explicitly as a function of <italic>ρ</italic>. In the models with deterministic terms, the correction factor is asymmetric in <italic>ρ</italic>. Furthermore, the Bartlett correction is monotonically increasing in <italic>ρ</italic> and tends to infinity when <italic>ρ</italic> approaches the stability boundary of + 1. Simulation results indicate that the Bartlett corrections are useful in controlling the size of the likelihood ratio statistic in small samples, although these corrections are not the ultimate panacea.
Year of publication: |
2009
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Authors: | Giersbergen, Noud P.A. van |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 03, p. 857-872
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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