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

DOI10.1080/03610919808813474zbMATH Open0897.62098OpenAlexW2147453470MaRDI QIDQ4386440FDOQ4386440

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

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zbMATH Keywords

time seriesF distributionchi-square distributionunit rootlikelihood functionAR(1) modelmodified likelihoodStudent's t\(F\) approximations

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (8)

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

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