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TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
Author(s) -
Kunst Robert M.
Publication year - 1997
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00042
Subject(s) - autoregressive model , mathematics , star model , test statistic , statistic , series (stratigraphy) , asymptotic distribution , white noise , likelihood ratio test , asymptotic analysis , statistics , autoregressive integrated moving average , gaussian , polynomial , econometrics , statistical hypothesis testing , time series , mathematical analysis , paleontology , physics , quantum mechanics , estimator , biology
This paper deals with the distributions evolving from the likelihood‐ratio test for the factor 1 − B n in the lag polynomial Φ( B ) under the basic assumption that the data series is generated by the autoregressive model Φ( B ) X t = ε t where {ε 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.