Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors
(2020). Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors. EKB Journal Management System, 64(1), 34-53. doi: 10.21608/esju.2021.189437
. "Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors". EKB Journal Management System, 64, 1, 2020, 34-53. doi: 10.21608/esju.2021.189437
(2020). 'Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors', EKB Journal Management System, 64(1), pp. 34-53. doi: 10.21608/esju.2021.189437
Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors. EKB Journal Management System, 2020; 64(1): 34-53. 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  XML PDF (609.89 K)
Document Type: Original Article
DOI: 10.21608/esju.2021.189437
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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 H 0.
Keywords
Bounded AR (2) model; asymptotic distributions; OLS Estimators; tests of hypothesis; the t-type statistics; mean squared error; Thiel's inequality coefficient and power of the test
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