Approximations to the Distribution of the Sample Autocorrelation Coefficient in the Presence of Unit Roots

Abstract

We introduce a comparison of the results from Monte Carlo simulations and our approximations. Several authors have formed that Edgeworth approximations are insufficiently accurate in practical situations. Indeed, Edgeworth approximations to the density function can produce negative values on the tails of distributions. However, the advantage of these approximations is that they generate analytical results (specifically, formulas) that are simple to handle and interpret, making them ideal for comparison with other methods. Our findings are similar to theirs.