BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND

B-Tier
Journal: Econometric Theory
Year: 2009
Volume: 25
Issue: 3
Pages: 857-872

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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 + 1. Simulation results indicate that the Bartlett corrections are useful in controlling the size of the likelihood ratio statistic in small samples, although these corrections are not the ultimate panacea.

Technical Details

RePEc Handle
repec:cup:etheor:v:25:y:2009:i:03:p:857-872_09
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25