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Research Article Open access CC BY 4.0

Test of Unit Root for Bounded AR (2) Model

Sayed Meshaal El-Sayed, Ahmed Amin EL- Sheikh, Mohammed Ahmed Farouk Ahmed

Journal of Advances in Mathematics and Computer Science · pp. 14–33 · Published 30 Dec 2020

10.9734/jamcs/2020/v35i930320

Abstract

In this paper, the test of unit root for bounded AR (2) model with constant term and dependent errors has been derived. Asymptotic distributions of OLS estimators and t-type  statistics under different tests of hypotheses have been derived. A simulation study has been established to compare between different tests of the unit root. Mean squared error (MSE) and Thiel's inequality coefficient (Thiel’s U) have been considered as criteria of comparison.

Bounded AR (2) model asymptotic distributions OLS estimators mean squared error Thiel's inequality coefficient t-type statistics

References (3)

  1. 1 Distribution of the Estimators for Autoregressive Time Series with a Unit Root [DOI]
  2. 2 Testing for unit roots in bounded time series [DOI]
  3. 3 Numerical analysis: a mathematical introduction [DOI]

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