Testing the autoregressive parameter with the t statistic (Q761000): Difference between revisions
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Revision as of 00:21, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing the autoregressive parameter with the t statistic |
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Testing the autoregressive parameter with the t statistic (English)
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1985
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This paper considers a Gaussian first-order autoregressive process with unknown intercept where the initial value of the variable is a known constant. Monte Carlo simulations are used to investigate the sampling distribution of the t statistic for the autoregressive parameter when its value is in the neighborhood of unity. A small sigma asymptotic result is exploited in the construction of exact non-similar tests. The powers of non-similar tests of the random walk and other hypotheses are estimated for sample sizes typical in economic applications.
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random walk hypothesis
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Gaussian first-order autoregressive process
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small sigma asymptotic result
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construction of exact non-similar tests
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