Tests for the order of integration against higher order integration |
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Authors: | Dong Wan Shin Man-Suk Oh |
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Affiliation: | (1) Department of Statistics, Ewha Womens University, 120-750 Seoul, Korea |
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Abstract: | Locally best invariant tests for the null hypothesis of I(p) against the alternative hypothesis of I(q), < q, are developed for models with independent normal errors. The tests are semiparametrically extended for models with autocorrelated errors. The method is illustrated by two real data sets in terms of double unit roots. The proposed tests can be used for determining integration orders of nonstationary time series. |
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Keywords: | Double unit roots integration order locally best invariant test |
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