caa a22 4500 386371474 CHVBK 20180307111959.0 cr unu---uuuuu 161130e198908 xx s 000 0 eng 10.1017/S0266466600012421 doi S0266466600012421 pii (NATIONALLICENCE)cambridge-10.1017/S0266466600012421 Pantula Sastry G. North Carolina State University Testing for Unit Roots in Time Series Data [Elektronische Daten] [Sastry G. Pantula] Let Yt satisfy the stochastic difference equation for t = 1,2, , where et are independent and identically distributed random variables with mean zero and variance σ2 and the initial conditions (Y−p+1, , Y0) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m1,m2, ,mp of satisfy the hypothesis Hd: m1 = ... = md = 1 and |mj| < 1 for j = d + 1, ,p. We present a reparameterization of the model for Yt that is convenient for testing the hypothesis Hd. We consider the asymptotic properties of (i) a likelihood ratio type "F-statistic” for testing the hypothesis Hd, (ii) a likelihood ratio type t-statistic for testing the hypothesis Hd against the alternative Hd−1. Using these asymptotic results, we obtain two sequential testing procedures that are asymptotically consistent. Copyright © Cambridge University Press 1989 Econometric Theory Cambridge University Press 5/2(1989-08), 256-271 0266-4666 5:2<256 1989 5 ECT https://doi.org/10.1017/S0266466600012421 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0266466600012421 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Pantula Sastry G. North Carolina State University NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/2(1989-08), 256-271 0266-4666 5:2<256 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge