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Asymptotic Distributions For Unit Root Test Statistics In Nearly Integrated Seasonal Autoregressive Models

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  • Nabeya, Seiji

Abstract

Seasonal autoregressive models with an intercept or linear trend are discussed. The main focus of this paper is on the models in which the intercept or trend parameters do not depend on the season. One of the most important results from this study is the asymptotic distribution for the ordinary least squares estimator of the autoregressive parameter obtained under nearly integrated condition, and another is the approximation to the limiting distribution of the t-statistic under the null for testing the unit root hypothesis.

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  • Nabeya, Seiji, 2000. "Asymptotic Distributions For Unit Root Test Statistics In Nearly Integrated Seasonal Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 16(2), pages 200-230, April.
    • Handle: RePEc:cup:etheor:v:16:y:2000:i:02:p:200-230_16
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    Cited by:

    1. Mynbaev, Kairat, 2003. "Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends," MPRA Paper 18448, University Library of Munich, Germany, revised 2005.
    2. Mehdi Hosseinkouchack & Uwe Hassler, 2016. "Powerful Unit Root Tests Free of Nuisance Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 533-554, July.

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