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

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URI: https://hdl.handle.net/10016/751
ISSN: 0165-1765
DOI: 10.1016/0165-1765(95)00741-5
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P-Values-EL-96-postprint.pdf (251.88 KB)
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1996-02
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Elsevier
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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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DF tests, Non-standard distributions, P-values, SNP approximations, Unit roots
Bibliographic citation
Economics Letters, February 1996, vol. 50, nº 2, p. 155-160
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