Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable
含外生变量的 AR(1) 模型中 t 与 F 统计量的有限样本分布
The distributions of the test statistics are investigated in the context of an AR(1) model where the root is unity or near unity and where the exogenous process is a stable process, a random walk or a time trend. The finite sample distributions are estimated by Monte Carlo methods assuming normal disturbances. The sensitivity of the distributions to both the values of the parameters of the AR(1) model and the process generating the exogenous time series is examined. The…