2008年
Exact distribution and critical values of a unit root test when error terms are serially correlated
APPLIED ECONOMICS LETTERS
- ,
- 巻
- 15
- 号
- 5
- 開始ページ
- 359
- 終了ページ
- 362
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1080/13504850600706131
- 出版者・発行元
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
In this article we consider the unit root test based on the ordinary least squares (OLSs) estimator for a coefficient of a lagged dependent variable when the error terms are serially correlated. Using Imhof's (1961) method, we show how we numerically evaluate the exact distribution function of the unit root test when the error terms are serially correlated. Our numerical results show that when the error terms are serially correlated, the size distortion is not small even if the sample size is considerably large. Also, based on the distribution function, we evaluate numerically exact critical values when the sample size is small and moderate.
- リンク情報
- ID情報
-
- DOI : 10.1080/13504850600706131
- ISSN : 1350-4851
- Web of Science ID : WOS:000254346600007