Title
Unit Roots: Periodogram Ordinate
Keywords
Autoregressive moving average processes; Limiting distributions; Periodogram ordinate; Unit roots
Abstract
The periodogram ordinate is used to define an asymptotic test for the testing problem H0 : α = 1 vs. HA : α < 1 under appropriate assumptions on the model Yt = αYt-1 + εt - θεt-1, where θ 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. © 2005 Elsevier B.V. All rights reserved.
Publication Date
3-15-2006
Publication Title
Statistics and Probability Letters
Volume
76
Issue
6
Number of Pages
641-651
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1016/j.spl.2005.09.011
Copyright Status
Unknown
Socpus ID
33344470751 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/33344470751
STARS Citation
Bhattacharyya, B. B.; Richardson, Gary D.; and Flores, P. V., "Unit Roots: Periodogram Ordinate" (2006). Scopus Export 2000s. 8476.
https://stars.library.ucf.edu/scopus2000/8476