Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7548031 | Statistics & Probability Letters | 2018 | 6 Pages |
Abstract
A test for unit roots in the autoregressive model Yij=αYiâ1,j+βYi,jâ1âαβYiâ1,jâ1+ϵij is developed whenever the error structure is assumed to have long range dependence. Whenever α=β=1, the limiting distribution of the sequence of normalized Fourier coefficients of the Yâ process is shown to be a function of a two parameter fractional Brownian motion process on [0,1]Ã[0,1]. This result is used to find the limiting distribution of the periodogram ordinate of the Y-process under the null hypothesis that α=β=1.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
N. Adu, G. Richardson,