کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097334 | 1376582 | 2008 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for unit root processes in random coefficient autoregressive models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Testing for unit root processes in random coefficient autoregressive models Testing for unit root processes in random coefficient autoregressive models](/preview/png/5097334.png)
چکیده انگلیسی
This paper proposes new tests for simple unit root and unit root with a possibly nonzero drift processes, in the context of a random coefficient autoregressive model. The asymptotic distributions of the tests are derived, and their properties are investigated through a Monte Carlo experiment. The tests have good power properties, and in many cases they perform better than the competing univariate tests available in the literature, despite testing for a multiple joint hypothesis. In particular, for moderate to large sample sizes, very small values of the variance of the random coefficient variable are needed in order for the tests to reach some power against roots very close to unity. Finally, the proposed tests are applied to the US GDP series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 581-609
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 581-609
نویسندگان
Walter Distaso,