The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes

Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.

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Year of publication:	1995
Authors:	Larsson, Rolf
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 11.1995, 02, p. 306-330
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005610402