Open AccessAsymptotic Distribution of Unit Root Tests Base on ESTAR Model with Flexible Fourier Form
Author(s) -
Murtala Adam Muhammad,
Junjuan Hu
Publication year - 2021
Publication title -
asian journal of probability and statistics
Language(s) - English
Resource type - Journals
ISSN - 2582-0230
DOI - 10.9734/ajpas/2021/v14i130321
Subject(s) - brownian motion , fourier transform , unit root , mathematics , distribution (mathematics) , asymptotic distribution , base (topology) , fourier series , mathematical analysis , root (linguistics) , statistical physics , physics , statistics , linguistics , philosophy , estimator
In this paper, the asymptotic distribution of Fourier ESTAR model (FKSS) proposed by [1], which was not given in the original paper are derived. Result shows that the asymptotic distributions are functions of brownian motion, only depends on K and free from nuisance parameters.