The restricted likelihood ratio test at the boundary in autoregressive series
نویسندگان
چکیده
منابع مشابه
The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series
The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be second order pivotal when the autoregressive coefficient is in the interior of the parameter space and so is very well approximated by the χ1 distribution. In this paper, the non-standard asymptotic distribution of the RLRT for the unit root boundary value is obt...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2009
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2009.00630.x