Unit roots: Periodogram ordinate
Abbreviated Journal Title
Stat. Probab. Lett.
autoregressive moving average processes; unit roots; periodograrn; ordinate; limiting distributions; TESTS; Statistics & Probability
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.
Statistics & Probability Letters
"Unit roots: Periodogram ordinate" (2006). Faculty Bibliography 2000s. 5959.