Journal article
Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable
Econometric theory, Vol.3(3), pp.387-408
06/1987
DOI: 10.1017/S026646660001046X
Abstract
The distributions of the test statistics are investigated in the context of an AR(1) model where the root is unity or near unity and where the exogenous process is a stable process, a random walk or a time trend. The finite sample distributions are estimated by Monte Carlo methods assuming normal disturbances. The sensitivity of the distributions to both the values of the parameters of the AR(1) model and the process generating the exogenous time series is examined. The Monte Carlo results motivate several theorems which describe the exact sampling behavior of the test statistics. The analytical and empirical results present a mixed picture with respect to the accuracy of the relevant asymptotic approximations.
Details
- Title: Subtitle
- Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable
- Creators
- J.C. Nankervis - London Borough of CamdenN.E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Econometric theory, Vol.3(3), pp.387-408
- DOI
- 10.1017/S026646660001046X
- ISSN
- 0266-4666
- eISSN
- 1469-4360
- Publisher
- Cambridge University Press
- Number of pages
- 22
- Language
- English
- Date published
- 06/1987
- Academic Unit
- Economics
- Record Identifier
- 9984963203402771
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