منابع مشابه
Unit Root Tests Voor Ar(1) Processen (engelse Titel: Unit Root Testing for Ar(1) Processes) Bsc Verslag Technische Wiskunde " Unit Root Tests Voor Ar(1) Processen " (engelse Titel: " Unit Root Testing for Ar(1) Processes " )
The purpose of this study is to investigate the asymptotics of a first order auto regressive unit root process, AR(1). The goal is to determine which tests could be used to test for the presence of a unit root in a first order auto regressive process. A unit root is present when the root of the characteristic equation of this process equals unity. In order to test for the presence of a unit roo...
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Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn ! 1 and Cn/n ! 0 as n ! 1. Strong consistency holds when Cn/...
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This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
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ژورنال
عنوان ژورنال: Journal of Advances in Mathematics and Computer Science
سال: 2020
ISSN: 2456-9968
DOI: 10.9734/jamcs/2020/v35i930320