type="main" xml:id="jtsa12019-abs-0001"This article proposes a hybrid bootstrap approach to approximate the augmented Dickey–Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of...

In linear regression models with autocorrelated errors, we apply the residual likelihood approach to obtain a residual information criterion (RIC), which can jointly select regression variables and autoregressive orders. We show that RIC is a consistent criterion. In addition, our simulation...