Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors

Meshaal El-Sayed, Sayed; A. E., Ahmed; Farouk Ahmed, Mohamed Ahmed

doi:10.21608/esju.2021.189437

	Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors
The Egyptian Statistical Journal
Article 3, Volume 64, Issue 1, June 2020, Page 34-53 PDF (609.89 K)
Document Type: Original Article
DOI: 10.21608/esju.2021.189437
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Authors
Sayed Meshaal El-Sayed^* ¹; Ahmed A. E.¹; Mohamed Ahmed Farouk Ahmed²
¹Department of Applied Statistics and Econometrics, Faculty of Graduate Studies for Statistical Research, Egypt
²High Institute of Computer and Information Technology, Al-Shorouk Academy, Cairo, Egypt
Abstract
In this paper, unit root test of bounded AR (2) model with constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions of the t-type statistics under different tests of hypothesis have been derived. Also, the simulation results of the bias, mean squared error (MSE), Thiel's inequality coefficient (Thiel's U) and power of the test for OLS estimators of bounded AR (2) model with constant and with constant and with independent errors approved the alternative hypothesis H_a more than the null hypothesis H₀.
Keywords
Bounded AR (2) model; Asymptotic distributions; OLS Estimators; Tests of hypothesis; The t-type statistics; Mean squared error; Thiel's inequality coefficient; Power of the test


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