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P-values for non-standard distributions with an application to the DF test

Adda, J; Gonzalo, J; (1996) P-values for non-standard distributions with an application to the DF test. ECON LETT , 50 (2) 155 - 160.

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Abstract

The literature on unit roots and structural breaks has produced numerous tests that follow non-standard asymptotic distributions. By fitting a semi-non-parametric model to these distributions, this paper proposes a new simple way to calculate the p-values.

Type: Article
Title: P-values for non-standard distributions with an application to the DF test
Keywords: DF tests, non-standard distributions, P-values, SNP approximations, unit roots
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/15023
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