Testing for the randomness of autoregressive coefficients

B. G. Quinn; D. F. Nicholls

doi:10.1111/j.1467-9892.1982.tb00334.x

Testing for the randomness of autoregressive coefficients

B. G. Quinn^*, D. F. Nicholls

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

Abstract. Two tests are proposed for the hypothesis that data come from an autoregression against the hypothesis that they come from a random coefficient autoregression. The tests are derived from a consideration of the C(α) tests of Neyman, the analysis of tests based on the likelihood ratio being complicated by the fact that the vector of system parameters specified under the null hypothesis lies on the boundary of the parameter space. The asymptotic distributional properties are derived and the powers of the tests compared.

Original language	English
Pages (from-to)	123-135
Number of pages	13
Journal	Journal of Time Series Analysis
Volume	3
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9892.1982.tb00334.x
Publication status	Published - 1982
Externally published	Yes

Keywords

boundary problems
hypothesis testing
Neyman C(α) tests
Random coefficient autoregression

Access to Document

10.1111/j.1467-9892.1982.tb00334.x

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