The restricted likelihood ratio test at the boundary in autoregressive series
The restricted likelihood ratio test at the boundary in autoregressive series
Abstract. The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be secondāorder 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 nonāstandard asymptotic distribution ā¦