BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
含截距与趋势的稳定 AR(1) 模型中的 Bartlett 修正
Bartlett corrections are derived for testing hypotheses about the autoregressive parameter ρ in the stable (a) AR(1) model, (b) AR(1) model with intercept, (c) AR(1) model with intercept and linear trend. The correction is found explicitly as a function of ρ . In the models with deterministic terms, the correction factor is asymmetric in ρ . Furthermore, the Bartlett correction is monotonically increasing in ρ and tends to infinity when ρ approaches the stability boundary of…