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Query: faculty: "FEB" and publication year: "2004"

AuthorN.P.A. van Giersbergen
TitleBartlett correction in the stable AR(1) model with intercept and trend
PublisherDepartment of Quantitative Economics
PlaceAmsterdam
Year2004
Pages25
Title seriesUvA Econometrics Discussion Paper
Series number2004/07
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe Bartlett correction is derived for testing hypotheses about the autoregressive parameter ρ in the stable: (i) AR(1) model; (ii) AR(1) model with intercept; (iii) AR(1) model with intercept and linear trend. The correction is found explicitly as a function of ρ. In the models with deterministic terms, the correction factor is asymmetric in ρ. Furthermore, the Bartlett correction is monotonic increasing in ρ and tends to infinity when ρ approaches the stability boundary of 1. Simulation results indicate that the Bartlett corrections are useful in controlling the size of the LR statistic in small samples.
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