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189437

Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors

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Last updated: 05 Jan 2025

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Abstract

In this paper, unit root test of bounded AR(2) model with constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions of the t-type statistics under different tests of hypothesis have been derived. Also, the simulation results of the bias, mean squared error (MSE),Thiel's inequality coefficient(Thiel's U)and power of the test for OLS estimators of bounded AR(2) model with constant and with constant and with independent errors approved the alternative hypothesis H a  more than the null hypothesis H 0.

DOI

10.21608/esju.2021.189437

Keywords

Bounded AR (2) model, asymptotic distributions, OLS Estimators, tests of hypothesis, the t-type statistics, mean squared error, Thiel's inequality coefficient and power of the test

Volume

64

Article Issue

1

Related Issue

26946

Issue Date

2020-06-01

Receive Date

2021-08-15

Publish Date

2020-06-01

Page Start

34

Page End

53

Print ISSN

0542-1748

Online ISSN

2786-0086

Article File

ESJU_Volume 64_Issue 1_Pages 34-53.pdf

PDF . 624.5kB

Link

https://esju.journals.ekb.eg/article_189437.html

Detail API

https://esju.journals.ekb.eg/service?article_code=189437

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Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors

Details

Type

Article

Created At

23 Jan 2023