Tests of Joint Hypotheses for Time Series Regression with a Unit Root
Data(s) |
22/09/2006
22/09/2006
1986
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Resumo |
This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We Consider Two Types of Regression: One with a Constant and Lagged Dependent Variable, and the Other with a Trend Added. the Statistics Studied Are the Regression \"F-Test\" Originally Analysed by Dickey and Fuller (1981) in a Less General Framework. the Limiting Distributions Are Found Using Functinal Central Limit Theory. New Test Statistics Are Proposed Which Require Only Already Tabulated Critical Values But Which Are Valid in a Quite General Framework (Including Finite Order Arma Models Generated by Gaussian Errors). This Study Extends the Results on Single Coefficients Derived in Phillips (1986A) and Phillips and Perron (1986). |
Formato |
657539 bytes application/pdf |
Identificador |
Perron, P., «Tests of Joint Hypotheses for Time Series Regression with a Unit Root», Cahier de recherche #8632, Département de sciences économiques, Université de Montréal, 1986, 24 pages. |
Relação |
Cahier de recherche #8632 |
Palavras-Chave | #Time Series #Mathematical Analysis #Theory #Testing |
Tipo |
Article |