SOME TESTS FOR UNIT ROOTS IN SEASONAL TIME-SERIES WITH DETERMINISTIC TRENDS

被引：9

作者：

AHN, SK

CHO, S

机构：

[1] WASHINGTON STATE UNIV,DEPT MANAGEMENT & SYST,PULLMAN,WA 99164

[2] SEOUL NATL UNIV,DEPT COMP SCI & STAT,SEOUL 151,SOUTH KOREA

来源：

STATISTICS & PROBABILITY LETTERS | 1993年 / 16卷 / 02期

关键词：

SEASONAL UNIT ROOTS; DETERMINISTIC TRENDS; LAGRANGE MULTIPLIER TEST; BROWNIAN BRIDGES;

D O I：

10.1016/0167-7152(93)90151-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using the Lagrange multiplier principle, we develop test statistics for testing seasonal unit roots in a time series with possible deterministic trends. The asymptotic distributions of the test statistics are derived: they are functionals of stochastic integrals of standard Brownian bridges. Empirical percentiles of the test statistics for selected seasonal periods are provided.

引用

页码：85 / 95

页数：11

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