eprintid: 18280
rev_number: 33
eprint_status: archive
userid: 601
dir: disk0/00/01/82/80
datestamp: 2010-03-23 15:25:54
lastmod: 2015-07-23 09:38:03
status_changed: 2010-03-23 15:25:54
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Charemza, W.W.
creators_name: Makarova, S.
creators_id: SMAKA80
title: A simple encompassing test for the deterministic and bilinear unit root models
ispublished: pub
subjects: 17100
note: From Special Issue on the Seventh International Conference
Computer Data Analysis and Modeling. Proceedings of CDAM’2004 in Minsk, Belarus, September 6–10, 2004
abstract: A new parameters’ encompassing test is proposed for deciding between the deterministic unit root processes with a structural break and the bilinear unit root model without such break. The test consists in testing three
sets of hypotheses regarding parameters in a simple regression model. The test uses the t-ratio and F-statistics, of non-trivial distributions under the null
hypothesis. The finite sample distributions for the relevant statistics are tabulated and the asymptotic distribution of the F-test is derived. The test has
been applied for the daily stock price indices for 66 countries, for the period 1992-2001. The results support the conjecture that the bilinear model dominates the structural break model more often than the other way around. Also, it is likely that in practical applications the bilinear unit root process might be mistaken for the deterministic unit root process with a structural break.
date: 2005
official_url: http://www.stat.tugraz.at/AJS/ausg052
oa_status: green
language: eng
primo: open
primo_central: open_green
lyricists_name: Makarova, S
lyricists_id: SMAKA80
full_text_status: public
publication: Austrian Journal of Statistics
volume: 34
number: 2
pagerange: 79-90
refereed: TRUE
issn: 1026-597X
citation:        Charemza, W.W.;    Makarova, S.;      (2005)    A simple encompassing test for the deterministic and bilinear unit root models.                   Austrian Journal of Statistics , 34  (2)   pp. 79-90.          Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/18280/1/18280.pdf