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

Adda, Jerome; Gonzalo, Jesús

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

Author(s): Adda, Jerome; Gonzalo, Jesús

Publisher: Elsevier

Issued date: 1996-02

Citation: Economics Letters, February 1996, vol. 50, nº 2, p. 155-160

ISSN: 0165-1765

DOI: 10.1016/0165-1765(95)00741-5

Review: PeerReviewed

Publisher version: http://dx.doi.org/10.1016/0165-1765(95)00741-5

Keywords: DF tests , Non-standard distributions , P-values , SNP approximations , Unit roots

URI: http://hdl.handle.net/10016/751

Abstract:

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. [+]

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