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Bartlett Correction of the Unit Root Test in Autoregressive Models
Vol. 84, No. 2 (Jun., 1997), pp. 500-504
Stable URL: http://www.jstor.org/stable/2337477
Page Count: 5
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The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.
Biometrika © 1997 Biometrika Trust