Contiguity in Nonstationary Time Series

A. R. Swensen
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A. R. Swensen: Central Bureau of Statistics of Norway and University of Oslo

Chapter 25 in Festschrift for Lucien Le Cam, 1997, pp 377-384 from Springer

Abstract: Abstract We show how a result of Cox & Llatas (1991) can be derived using contiguity arguments. Also we compare the asymptotic power functions of three tests of the characteristic polynomial of an AR(1) process having a root at unity.

Keywords: Unit Root; Stochastic Differential Equation; Asymptotic Distribution; Moment Generate Function; Standard Brownian Motion (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-1880-7_25

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DOI: 10.1007/978-1-4612-1880-7_25

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