P-Values for Non-Standard Distributions with an Application to the DF Test

The literature of unit roots and structural breaks has produced numerous tests that follow non-standard asymptotic distributions. This paper by fitting a seminonparametric model to them proposes a new simple way of calculating the p-values.

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Year of publication:	1995-05
Authors:	Adda, Jerome ; Gonzalo, Jesus
Institutions:	Institute for Economic Development, Department of Economics

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Series:	Boston University - Institute for Economic Development.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630933