http://hdl.handle.net/1765/2062
http://dx.doi.org/10.1111/j.1467-9892.1996.tb00274.x
scopus: cited times
http://dx.doi.org/10.1111/j.1467-9892.1996.tb00274.x
scopus: cited times
Unit roots in periodic autoregressions
January 1996
Article
pp 221-245.
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Abstract. This paper analyzes the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant-parameter model.
Keywords
Automatically Extracted Terms
- model
- unit roots
- process
- unit root
- statistic
- parameter
- series
- autoregression
- vector
- trend
- distribution
- time series
- representation
- lr statistic
- hypothesis
- restriction
- franse
- matrix
- motion
- brownian
