Title: A selective review on the issue of testing for a unit autoregressive root
Abstract: In the recent few years an increasing effort has been made to establish reliable testing procedures to
determine whether or not an observed time series is generated by a unit autoregressive root process. This
paper presents in a selective manner some of the most common and widely used test statistics for testing
for a unit autoregressive root and evaluates the performance of these test statistics in moderately large
samples.
Publication Year: 1999
Publication Date: 1999-01-01
Language: en
Type: review
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