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

被引：7

作者：

Adda, J

Gonzalo, J

机构：

[1] INRA,F-95205 IVRY,FRANCE

[2] BOSTON UNIV,DEPT ECON,BOSTON,MA 02215

来源：

ECONOMICS LETTERS | 1996年 / 50卷 / 02期

关键词：

DF tests; non-standard distributions; P-values; SNP approximations; unit roots;

D O I：

10.1016/0165-1765(95)00741-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：155 / 160

页数：6

共 6 条

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