BARTLETT CORRECTION OF THE UNIT ROOT TEST IN AUTOREGRESSIVE MODELS

Bent Nielsen

Nuffield College, Oxford University

 

June 1995

 

Summary

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 it is shown that the Bartlett correction does improve the asymptotic distribution approximation.