Tests for the order of integration against higher order integration

Done Wan Shin; Man Suk Oh

doi:10.1007/s00362-003-0162-y

Tests for the order of integration against higher order integration

Done Wan Shin, Man Suk Oh

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

Locally best invariant tests for the null hypothesis of I(p) against the alternative hypothesis of I(c), p < q, are developed for models with independent normal errors. The tests are semiparametrically extended for models with autocorrelated errors. The method is illustrated by two real data sets in terms of double unit roots. The proposed tests can be used for determining integration orders of nonstationary time series.

Original language	English
Pages (from-to)	383-396
Number of pages	14
Journal	Statistical Papers
Volume	44
Issue number	3
DOIs	https://doi.org/10.1007/s00362-003-0162-y
State	Published - Jul 2003

Keywords

Double unit roots
Integration order
Locally best invariant test

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10.1007/s00362-003-0162-y

Cite this

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abstract = "Locally best invariant tests for the null hypothesis of I(p) against the alternative hypothesis of I(c), p < q, are developed for models with independent normal errors. The tests are semiparametrically extended for models with autocorrelated errors. The method is illustrated by two real data sets in terms of double unit roots. The proposed tests can be used for determining integration orders of nonstationary time series.",

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AB - Locally best invariant tests for the null hypothesis of I(p) against the alternative hypothesis of I(c), p < q, are developed for models with independent normal errors. The tests are semiparametrically extended for models with autocorrelated errors. The method is illustrated by two real data sets in terms of double unit roots. The proposed tests can be used for determining integration orders of nonstationary time series.

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KW - Locally best invariant test

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JO - Statistical Papers

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ER -

Tests for the order of integration against higher order integration

Abstract

Keywords

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