ISSN:
1572-9052
Keywords:
First-order autoregressive process
;
unit roots
;
nearly non-stationary
;
periodogram ordinate
;
local Pitman-type alternatives
;
Ornstein-Uhlenbeck process
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in the first-order autoregressive model Ζst=α Ζs-1,t+βΖs,t-1-αβ Ζs-1,t-1+ɛst. Moreover, for the sequence α n = e c/n , β n = e d/n of local Pitman-type alternatives, the limiting distribution of the normalized periodogram ordinate is shown to be a linear combination of two independent chi-square random variables whose coefficients depend on c and d. This result is used to tabulate the asymptotic power of a test for various values of c and d. A comparison is made between the periodogram test and a spatial domain test.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1004184932031
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