Test of Unit Root for Bounded AR (2) Model

Main Article Content

Sayed Meshaal El-Sayed
Ahmed Amin EL- Sheikh
Mohammed Ahmed Farouk Ahmed

Abstract

In this paper, the test of unit root for bounded AR (2) model with constant term and dependent errors has been derived. Asymptotic distributions of OLS estimators and t-type  statistics under different tests of hypotheses have been derived. A simulation study has been established to compare between different tests of the unit root. Mean squared error (MSE) and Thiel's inequality coefficient (Thiel’s U) have been considered as criteria of comparison.

Keywords:
Bounded AR (2) model, asymptotic distributions, OLS estimators, mean squared error, Thiel's inequality coefficient, t-type statistics

Article Details

How to Cite
El-Sayed, S. M., EL- Sheikh, A. A., & Ahmed, M. A. F. (2020). Test of Unit Root for Bounded AR (2) Model. Journal of Advances in Mathematics and Computer Science, 35(9), 14-33. https://doi.org/10.9734/jamcs/2020/v35i930320
Section
Original Research Article

References

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