Unit roots: Periodogram ordinate

    Authors

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

    Comments

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    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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