Unit Root Test of Bounded AR (2) without Constant Model in Case Dependent Errors | ||||
| مجلة الشروق للعلوم التجارية | ||||
| Volume 13, Issue 13, 2021, Page 199-235 PDF (468.41 K) | ||||
| Document Type: المقالة الأصلية | ||||
| DOI: 10.21608/sjcs.2021.225230 | ||||
 View on SCiNiTO | ||||
| Author | ||||
| Dr.Mohammed Ahmed Farouk | ||||
| Abstract | ||||
| In this paper, the test of unit root for bounded AR (2) model without constant and dependent errors has been derived. Asymptotic distributions of OLS estimators and 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 without constant; dependent errors; asymptotic distributions; OLS estimators; tests of hypothesis; the statistics; Mean squared error; Thiel's inequality coefficient and power of the test | ||||
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