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: |
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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.