| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155327 | Statistics & Probability Letters | 2006 | 11 Pages |
Abstract
The periodogram ordinate is used to define an asymptotic test for the testing problem H0:α=1H0:α=1 vs. HA:|α|<1HA:|α|<1 under appropriate assumptions on the model Yt=αYt-1+εt-θεt-1Yt=αYt-1+εt-θεt-1, where θθ 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
B.B. Bhattacharyya, G.D. Richardson, P.V. Flores,