THE ASYMPTOTIC DISTRIBUTIONS OF SOME TEST STATISTICS IN NEAR-INTEGRATED AR PROCESSES

被引：8

作者：

LARSSON, R

机构：

来源：

ECONOMETRIC THEORY | 1995年 / 11卷 / 02期

关键词：

D O I：

10.1017/S026646660000918X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：306 / 330

页数：25

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