Title

Unit roots: Periodogram ordinate

Authors

Authors

B. B. Bhattacharyya; G. D. Richardson;P. V. Flores

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

Abbreviated Journal Title

Stat. Probab. Lett.

Keywords

autoregressive moving average processes; unit roots; periodograrn; ordinate; limiting distributions; TESTS; Statistics & Probability

Abstract

The periodogram ordinate is used to define an asymptotic test for the testing problem H-0 : alpha = 1 vs. H-Lambda : vertical bar alpha vertical bar < 1 under appropriate assumptions on the model Y-t = alpha Yt-1 + epsilon(t) - theta epsilon(t-1) where theta is near one. A drift term is also included in the model. An independent and identically distributed error structure: as well as one exhibiting long memory are studied. (c) 2005 Elsevier B.V. All rights reserved.

Journal Title

Statistics & Probability Letters

Volume

76

Issue/Number

6

Publication Date

1-1-2006

Document Type

Article

Language

English

First Page

641

Last Page

651

WOS Identifier

WOS:000236489100013

ISSN

0167-7152

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