TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES

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
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00042

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:18:y:1997:i:2:p:123-135

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().