Testing the autoregressive parameter with the t statistic |
| |
Authors: | JC Nankervis NE Savin |
| |
Institution: | City of London Polytechnic, London EC2M 6SQ, UK;Trinity College, Cambridge CB2 1TQ, UK |
| |
Abstract: | This paper considers a Gaussian first-order autoregressive process with unknown intercept where the initial value of the variable is a known constant. Monte Carlo simulations are used to investigate the sampling distribution of the t statistic for the autoregressive parameter when its value is in the neighborhood of unity. A small sigma asymptotic result is exploited in the construction of exact non-similar tests. The powers of non-similar tests of the random walk and other hypotheses are estimated for sample sizes typical in economic applications. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|