Unit Root Test of Bounded AR 2 Model Without Constant and with Independent Errors
| المصدر: | مجلة الدراسات والبحوث التجارية |
|---|---|
| الناشر: | جامعة بنها - كلية التجارة |
| المؤلف الرئيسي: | El-Sayed, Sayed Meshaal (Author) |
| مؤلفين آخرين: | Ahmed, Mohammed Ahmed Farouk (Co-Author) |
| المجلد/العدد: | س39, ع4 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2019
|
| الصفحات: | 569 - 586 |
| ISSN: |
1110-1547 |
| رقم MD: | 1184483 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Bounded AR 2 Model | Asymptotic Distributions | OLS Estimators | Test of Hypothesis | The T-Type Statistics | Mean Squared Error | Thiel's Inequality Coefficient and Power of the Test
|
| رابط المحتوى: |
عدد مرات التحميل
2
| المستخلص: |
In this paper, unit root test of bounded AR (2) model without constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions of the t-type statistics under different tests of hypothesis have been derived. Also, the simulation results of the bias, mean squared error (MSE), Thiel's inequality coefficient (Thiel's U) and power of the test for OLS estimators of bounded AR (2) model without constant and with independent errors approved the alternative hypothesis Hα more than the null hypothesis H0. |
|---|---|
| ISSN: |
1110-1547 |
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