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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2009"

AuteurN.P.A. van Giersbergen
TitelBartlett correction in the stable AR(1) model with intercept and trend
TijdschriftEconometric Theory
Jaargang25
Jaar2009
Nummer3
Pagina's857-872
ISSN02664666
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingBartlett corrections are derived for testing hypotheses about the autoregressive parameter ρ in the stable (a) AR(1) model, (b) AR(1) model with intercept, (c) 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 monotonically 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 likelihood ratio statistic in small samples, although these corrections are not the ultimate panacea.
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