Adaptive test for periodicity in restrictive EXPAR(p) models

A. Yousfi and M. Merzougui

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 17, 6064-6077

Abstract: Locally asymptotically most stringent test for testing the periodicity in the restricted exponential autoregressive model EXPAR(1) has been constructed by Merzougui et al. This test is generalized here to the restricted EXPAR of order p. On the other hand, we construct a semi-parametric optimal test of periodicity when the innovation density is unknown. The sufficient conditions of the Local Asymptotic Normality (LAN) property are adapted to the periodic model.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:17:p:6064-6077

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DOI: 10.1080/03610926.2020.1852433

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