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ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS

Published online by Cambridge University Press:  01 April 2000

Seiji Nabeya
Seiji Nabeya
Affiliation:
Tokyo International University
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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.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 2 , April 2000 , pp. 200 - 230
Copyright
© 2000 Cambridge University Press

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