Unit root testing in integer - valued AR ( 1 ) models * ̈ ̈
نویسنده
چکیده
We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation. 2001 Elsevier Science B.V. All rights reserved.
منابع مشابه
Weak Disposability in Integer-Valued Data Envelopment Analysis
Conventional data envelopment analysis (DEA) models normally assume all inputs and outputs are real valued and continuous. However in problems some inputs and outputs can only take integer values, also, both desirable and undesirable outputs can be generated . In this paper the effect of undesirable outputs in integer DEA model is discussed. The proposed model distinguishes weak disposability o...
متن کاملCountable composition closedness and integer-valued continuous functions in pointfree topology
For any archimedean$f$-ring $A$ with unit in whichbreak$awedge (1-a)leq 0$ for all $ain A$, the following are shown to be equivalent: 1. $A$ is isomorphic to the $l$-ring ${mathfrak Z}L$ of all integer-valued continuous functions on some frame $L$. 2. $A$ is a homomorphic image of the $l$-ring $C_{Bbb Z}(X)$ of all integer-valued continuous functions, in the usual se...
متن کاملInteger Valued AR(1) with Geometric Innovations
The classical integer valued first-order autoregressive (INA- R(1)) model has been defined on the basis of Poisson innovations. This model has Poisson marginal distribution and is suitable for modeling equidispersed count data. In this paper, we introduce an modification of the INAR(1) model with geometric innovations (INARG(1)) for model- ing overdispersed count data. We discuss some structu...
متن کاملAn Autoregressive Model with Conditional Heterogeneity: a Nesting Model for Unit Root Testing
The main objective of this paper is to shed light on the problem of low power for the Dickey-Fuller type unit root tests. It is argued that the low power is primarily due to the non-nestedness of the Autoregressive (AR(1)) and the Unit Root (UR(1)) models. The paper proposes an AR(1) model with Conditional Heterogeneity (ARCHET(1)) which parametrically encompasses the UR(1) model. A number of s...
متن کاملSENSITIVITY ANALYSIS OF EFFICIENT AND INEFFICIENT UNITS IN INTEGER-VALUED DATA ENVELOPMENT ANALYSIS
One of the issues in Data Envelopment Analysis (DEA) is sensitivity and stability region of the speci c decision making unit (DMU), included ecient and inecient DMUs. In sensitivity analysis of ecient DMUs,the largest region should be found namely stability region thatdata variations are only for ecient DMU under evaluation and the data for the remainingDMUs are assumed xed. Also ecient DMU u...
متن کامل