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ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

Published online by Cambridge University Press:  01 February 1999

Seiji Nabeya
Seiji Nabeya
Affiliation:
Tokyo International University
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Abstract

For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 1 , February 1999 , pp. 139 - 149
Copyright
© 1999 Cambridge University Press

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