Robert M. Kunst,
"Testing for cyclical non-stationarity in autoregressive processes"
, in Journal of Time Series Analysis, 3-1997, Robert M. Kunst, Journal of Time Series Analysis 18, 123-136
Original Titel:
Testing for cyclical non-stationarity in autoregressive processes
Sprache des Titels:
Englisch
Englische Kurzfassung:
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.
Journal:
Journal of Time Series Analysis
Erscheinungsmonat:
3
Erscheinungsjahr:
1997
Notiz zum Zitat:
Robert M. Kunst, Journal of Time Series Analysis 18, 123-136