任意阶自回归模型中单位根的近有效似然比检验

IF 1 4区 经济学 Q3 ECONOMICS Econometric Theory Pub Date : 2022-12-20 DOI:10.1017/s0266466622000652
Samuel Brien, Michael Jansson, M. Nielsen
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引用次数: 0

摘要

我们研究了任意阶自回归模型中单位根假设的似然比检验的大样本性质。早期对这个测试问题的研究已经在1阶自回归模型中开发了似然比测试,但在处理高阶模型时采用了插入式方法。相反,我们考虑了完整模型,并在局部到单位渐近框架下推导了似然比检验的相关大样本性质。与更简单的模型一样,我们证明了全似然比检验几乎是有效的,因为它们的渐近局部幂函数与高斯幂包络几乎无法区分。还考虑了筛型近似的扩展和不同类别的替代方案。
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NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER
We study large sample properties of likelihood ratio tests of the unit-root hypothesis in an autoregressive model of arbitrary order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order 1, but resorted to a plug-in approach when dealing with higher-order models. In contrast, we consider the full model and derive the relevant large sample properties of likelihood ratio tests under a local-to-unity asymptotic framework. As in the simpler model, we show that the full likelihood ratio tests are nearly efficient, in the sense that their asymptotic local power functions are virtually indistinguishable from the Gaussian power envelopes. Extensions to sieve-type approximations and different classes of alternatives are also considered.
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来源期刊
Econometric Theory
Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍: Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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