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Robert Kunst ()

Journal of Time Series Analysis, 1997, vol. 18, issue 2, 123-135

Abstract: This paper deals with the distributions evolving from the likelihood‐ratio test for the factor 1 −Bn in the lag polynomial Φ(B) under the basic assumption that the data series is generated by the autoregressive model Φ(B)Xt = εt where {εt} denotes Gaussian white noise. A characterization of the statistic and its asymptotic properties is given. Asymptotic and finite‐sample significance points are tabulated. The test procedure is illustrated by an economics example.

Date: 1997
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Handle: RePEc:bla:jtsera:v:18:y:1997:i:2:p:123-135