Locally most powerful test for the random coefficient autoregressive model

DOI10.1155/2019/6593821MaRDI QIDQ2298686zbMATH OpenOpenAlexWikidataFDO

Authors Li Bi, Feilong Lu, Kai Yang, Dehui Wang

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/6593821

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: In this article, we study the problem of testing the constancy of the coefficient in a class of stationary first-order random coefficient autoregressive (RCAR(1)) model. We construct a new test statistic based on the locally most powerful-type (LMP) test. Under the null hypothesis, we derive the limiting distribution of the proposed test statistic. In the simulation, we compare the power between LMP test and empirical likelihood (EL) test and find that the accuracy of using LMP is 6.7\%, 28.8\%, and 26.1\% higher than that of EL test under normal, student's \(t\), and symmetric contamination errors, respectively. A real life data is given to illustrate the practical effectiveness of our test.

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Cited in

(2)

• Efficient detection of random coefficients in autoregressive models
• On the power of Pearson's test under local alternatives in autoregression with outliers

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