Rank tests for testing the randomness of autoregressive coefficients

R. V. Ramanathan and M. B. Rajarshi

Statistics & Probability Letters, 1994, vol. 21, issue 2, 115-120

Abstract: We propose a class of rank tests for testing the randomness of the regression coefficients in a random coefficient autoregressive model. Asymptotic distributions of these tests are obtained via weak convergence results of a randomly weighted residual empirical process proved by Koul and Ossiander (1993). The proposed rank tests are found to be asymptotically distribution free under H0. The asymptotic relative efficiency (ARE) (in the Pitman sense) of a rank test with respect to the score test for a Gaussian model is obtained.

Keywords: Asymptotic; relative; efficiency; Random; coefficient; autoregressive; models; Randomly; weighted; empirical; processes; Rank; tests (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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