Unit roots: Periodogram ordinate

The periodogram ordinate is used to define an asymptotic test for the testing problem H0:[alpha]=1 vs. HA:[alpha]<1 under appropriate assumptions on the model Yt=[alpha]Yt-1+[epsilon]t-[theta][epsilon]t-1, where [theta] is near one. A drift term is also included in the model. An independent and identically distributed error structure as well as one exhibiting long memory are studied.

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Year of publication:	2006
Authors:	Bhattacharyya, B.B. ; Richardson, G.D. ; Flores, P.V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 6, p. 641-651
Publisher:	Elsevier
Keywords:	Autoregressive moving average processes Unit roots Periodogram ordinate Limiting distributions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137860