Testing for Unit Roots in Time Series Data
Let Y satisfy the stochastic difference equation null for t = 1,2,…, where e are independent and identically distributed random variables with mean zero and variance σ 2 and the initial conditions ( Y−p+1 ,…, Y 0) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m 1, m2 ,…, m of null satisfy the hypothesis H : m 1 = … = m = 1 and | m| j = d + 1,…, p. We present a reparameterization of the model for Y that is convenient for testing the hypothesis H . We consider the asymptotic properties of (i) a likelihood ratio type “ F-statistic” for testing the hypothesis H , (ii) a likelihood ratio type t -statistic for testing the hypothesis H against the alternative H . Using these asymptotic results, we obtain two sequential testing procedures that are asymptotically consistent.
Volume (Year): 5 (1989)
Issue (Month): 02 (August)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If references are entirely missing, you can add them using this form.