Some properties of exact tests for unit roots

被引：4

作者：

Bhargava, A

机构：

[1] Department of Economics, University of Houston, Houston

来源：

BIOMETRIKA | 1996年 / 83卷 / 04期

关键词：

autoregressive model; exact stationary and nonstationary densities; most powerful invariant test; seasonal time series; unit root;

D O I：

10.1093/biomet/83.4.944

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper is concerned with the null hypothesis that errors in a regression equation for time series data follow a random walk. We examine the power properties of most powerful invariant tests for the unit root null hypotheses against exact stationary and nonstationary first order autoregressive models. The analysis shows the importance of a constant term and a linear trend variable in certain cases. The implications of the results for models estimated using seasonal data are briefly discussed.

引用

页码：944 / 949

页数：6

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