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225230

Unit Root Test of Bounded AR (2) without Constant Model in Case Dependent Errors

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Last updated: 29 Dec 2024

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Abstract

In this paper, the test of unit root for bounded AR (2) model without constant and dependent errors has been derived. Asymptotic distributions of OLS estimators and  statistics under different tests of hypotheses have been derived. A simulation study has been established to compare between different tests of the unit root.  Mean squared error (MSE) and Thiel's inequality coefficient (Thiel's U) have been considered as criteria of comparison.

DOI

10.21608/sjcs.2021.225230

Keywords

Bounded AR (2) model without constant, dependent errors, asymptotic distributions, OLS Estimators, tests of hypothesis, the statistics, mean squared error, Thiel's inequality coefficient and power of the test

Authors

First Name

Dr.Mohammed Ahmed

Last Name

Farouk

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Volume

13

Article Issue

13

Related Issue

32125

Issue Date

2021-06-01

Receive Date

2022-03-16

Publish Date

2021-06-01

Page Start

199

Page End

235

Print ISSN

1687-8523

Online ISSN

2682-356X

Article File

SJCS_Volume 13_Issue 13_Pages 199-235.pdf

PDF . 479.7kB

Link

https://sjcs.journals.ekb.eg/article_225230.html

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https://sjcs.journals.ekb.eg/service?article_code=225230

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225,230

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المقالة الأصلية

Type Code

2,291

Publication Type

Journal

Publication Title

مجلة الشروق للعلوم التجارية

Publication Link

https://sjcs.journals.ekb.eg/

MainTitle

Unit Root Test of Bounded AR (2) without Constant Model in Case Dependent Errors

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Article

Created At

23 Jan 2023