Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions

DOI10.1080/03610919808813474MaRDI QIDQ4386440zbMATH OpenOpenAlexFDO

Authors Wing-Keung Wong, M. L. Tiku

Publication date 25 October 1998

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919808813474

zbMATH Keywords

\(F\) approximationsAR(1) modelchi-square distributionF distributionlikelihood functionmodified likelihoodStudent's ttime seriesunit root

Mathematics Subject Classification ID

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

Recommendations

• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• Distribution approximation of unit root tests in autoregressive models
• A chi-square test for a unit root
• Approximation to the finite sample distribution of a sufficient estimator of the coefficient in a non-stationary AR(1) model
• Testing for Unit Roots: 2

Cites work

• A new method of estimation for location and scale parameters
• Expected values, variances and covariances of order statistics for student's t-distribution with two degrees of freedom
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Note on an Approximation to the Distribution of Non-Central χ 2
• On estimating the scale parameter of the Rayleigh distribution from doubly censored samples
• On the tiku-suresh method of estimation
• Robust Statistics
• Testing for a unit root in time series regression
• The exact values of the expected values, variances and covariances of the order statistics from the cauchy distribution

Cited in

(10)

• An inverted beta approximation to a MPI unit root test
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Time series models with asymmetric innovations
• Distribution approximation of unit root tests in autoregressive models
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• On the estimation of cost of capital and its reliability
• Time series AR(1) model for short-tailed distributions
• Estimating parameters in autoregressive models with asymmetric innovations
• Detection of degree distribution for biological networks in Pearson family and its approximation
• A chi-square test for a unit root

This page was built for publication: Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4386440)