Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes

I. V. Basawa and H. L. Koul

Stochastic Processes and their Applications, 1979, vol. 9, issue 3, 291-305

Abstract: Limiting distributions of a score statistic and the likelihood ratio statistic for testing a composite hypothesis involving several parameters in non-ergodic type stochastic processes are obtained. It is shown that, unlike in the usual theory (ergodic type processes), the limiting distributions of these statistics are different both under the null and a contiguous sequence of alternative hypotheses. The results are applied to a regression model with explosive autoregressive Gaussian errors. In the discussion of this example a modified score statistic is suggested where the limiting null and non-null distributions are the same as those of the likelihood ratio statistic.

Keywords: Score; test; likelihood-ratio; test; explosive; autoregression (search for similar items in EconPapers)
Date: 1979
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