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

DOI10.1080/03610919808813474zbMath0897.62098OpenAlexW2147453470MaRDI QIDQ4386440

Wing-Keung Wong, Moti 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

time seriesunit rootF distributionchi-square distributionlikelihood functionAR(1) modelmodified likelihoodStudent's t\(F\) approximations

Mathematics Subject Classification ID

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

Related Items (6)

Time series models with asymmetric innovations ⋮ ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS ⋮ Time series AR(1) model for short-tailed distributions ⋮ On the estimation of cost of capital and its reliability ⋮ Estimating parameters in autoregressive models with asymmetric innovations ⋮ Estimating parameters in autoregressive models in non-normal situations: symmetric innovations

Cites Work

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• A new method of estimation for location and scale parameters
• On the tiku-suresh method of estimation
• Note on an Approximation to the Distribution of Non-Central χ 2
• Testing for a unit root in time series regression
• On estimating the scale parameter of the Rayleigh distribution from doubly censored samples
• Expected values, variances and covariances of order statistics for student's t-distribution with two degrees of freedom
• The exact values of the expected values, variances and covariances of the order statistics from the cauchy distribution
• Robust Statistics

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