The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series

13 Pages Posted: 20 Oct 2009

See all articles by Willa W. Chen

Willa W. Chen

Texas A&M University - Department of Statistics

Rohit Deo

Stern School of Business, New York University

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Date Written: 0000

Abstract

The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be second-order pivotal when the autoregressive coefficient is in the interior of the parameter space and so is very well approximated by the distribution. In this article, the non-standard asymptotic distribution of the RLRT for the unit root boundary value is obtained and is found to be almost identical to that of the in the right tail. Together, these two results imply that the distribution approximates the RLRT distribution very well even for near unit root series and transitions smoothly to the unit root distribution.

Suggested Citation

Chen, Willa W. and Deo, Rohit, The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series (0000). Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 618-630, November 2009. Available at SSRN: https://ssrn.com/abstract=1490390 or http://dx.doi.org/10.1111/j.1467-9892.2009.00630.x

Willa W. Chen (Contact Author)

Texas A&M University - Department of Statistics ( email )

155 Ireland Street
447 Blocker
College Station, TX 77843
United States

Rohit Deo

Stern School of Business, New York University ( email )

44 West Fourth Street
New York, NY 10012
United States

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