Abstract
This paper deals with the distributions evolving from the likelihood-ratio test for the factor 1-B^n in the lag polynomial Phi(B) under the basic assumption that the data series is generated by the autoregressive model Phi(B)X_t = epsilon_t where {epsilon_t} 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.
| Original language | English |
|---|---|
| Pages (from-to) | 123-135 |
| Number of pages | 13 |
| Journal | Journal of Time Series Analysis |
| Volume | 18 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Mar 1997 |
Fields of science
- 405002 Agricultural economics
- 502 Economics
- 502001 Labour market policy
- 502002 Labour economics
- 502003 Foreign trade
- 502009 Corporate finance
- 502010 Public finance
- 502012 Industrial management
- 502013 Industrial economics
- 502018 Macroeconomics
- 502020 Market research
- 502021 Microeconomics
- 502025 Econometrics
- 502027 Political economy
- 502039 Structural policy
- 502042 Environmental economics
- 502046 Economic policy
- 502047 Economic theory
- 504014 Gender studies
- 506004 European integration
- 507016 Regional economy
- 303010 Health economics