The restricted likelihood ratio test at the boundary in autoregressive series

Willa W. Chen, Rohit Deo

Type: Article

Publication Date: 2009-09-15

Citations: 6

DOI: https://doi.org/10.1111/j.1467-9892.2009.00630.x

Abstract

Abstract. The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be second‐order pivotal when the autoregressive coefficient is in the interior of the parameter space and so is very well approximated by the distribution. In this article, the non‐standard asymptotic distribution of the RLRT for the unit root boundary value is obtained and is found to be almost identical to that of the in the right tail. Together, these two results imply that the distribution approximates the RLRT distribution very well even for near unit root series and transitions smoothly to the unit root distribution.

Locations

Journal of Time Series Analysis - View
CiteSeer X (The Pennsylvania State University) - View - PDF

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Works Cited by This (17)

Action	Title	Year	Authors
+	Application of Likelihood Methods to Models Involving Large Numbers of Parameters	1970	John D. Kalbfleisch D. A. Sprott
+ PDF Chat	Restricted Likelihood Ratio Lack-of-Fit Tests Using Mixed Spline Models	2004	Gerda Claeskens
+	Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems	1977	David A. Harville
+	Autocorrelation Effects on Least-Squares Intervention Analysis of Short Time Series	1999	Bradley E. Huitema Joseph W. McKean Scott D. McKnight
+ PDF Chat	Defining the Curvature of a Statistical Problem (with Applications to Second Order Efficiency)	1975	Bradley Efron
+ PDF Chat	Generalization of likelihood ratio tests under nonstandard conditions	1997	Hien Vu Shiwei Zhou
+	The likelihood ratio criterion and the asymptotic expansion of its distribution	1977	Takesi Hayakawa
+	A time series illustration of approximate conditional likelihood	1989	A M Cruddas Nancy Reid D. R. Cox
+	Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests under Nonstandard Conditions	1987	Steven G. Self Kung‐Yee Liang
+	Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood	2000	Wai‐Kwong Cheang Gregory C. Reinsel