ASYMPTOTIC OF SCORE TEST STATISTIC IN LINEAR REGRESSION WITH STATIONARY AND NONSTATIONARY RESIDUALS

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ZAMANI MEHRYAN SEDIGHE; NEMATOLLAHI ALI REZA

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Paper Information

Journal: JOURNAL OF STATISTICAL SCIENCES Year:2014 | Volume:7 | Issue:2 Page(s): 189-206

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Title

ASYMPTOTIC OF SCORE TEST STATISTIC IN LINEAR REGRESSION WITH STATIONARY AND NONSTATIONARY RESIDUALS

Author(s)

ZAMANI MEHRYAN SEDIGHE | NEMATOLLAHI ALI REZA | Issue Writer Certificate

Keywords

AUTOREGRESSIVE MODELQ2

LINEAR REGRESSIONQ2

PSEUDOQ2

LIKELIHOODQ2

SCORE TEST STATISTICQ2

UNIT ROOT TESTQ2

FUNCTIONAL CENTRAL LIMIT THEOREMQ2

Abstract

In this paper, the PSEUDO-likelihood estimators and the limiting distribution of the SCORE TEST STATISTIC associated with several hypothesis tests such as UNIT ROOT TEST for the LINEAR REGRESSION models with stationary and nonstationary residuals are calculated. The limiting behavior of theses test statistics by using a simpler approach of the original presentation is derived. Also by using a Mont Carlo method, it is shown that the derived PSEUDO-likelihood estimators are appropriate. The quantiles of the limiting distribution of the test statistic for a unit root are also calculated and a new table is provided which can be used by researchers for the UNIT ROOT TEST.

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APA: Copy

ZAMANI MEHRYAN, SEDIGHE, & NEMATOLLAHI, ALI REZA. (2014). ASYMPTOTIC OF SCORE TEST STATISTIC IN LINEAR REGRESSION WITH STATIONARY AND NONSTATIONARY RESIDUALS. JOURNAL OF STATISTICAL SCIENCES, 7(2), 189-206. SID. https://sid.ir/paper/124093/en

Vancouver: Copy

ZAMANI MEHRYAN SEDIGHE, NEMATOLLAHI ALI REZA. ASYMPTOTIC OF SCORE TEST STATISTIC IN LINEAR REGRESSION WITH STATIONARY AND NONSTATIONARY RESIDUALS. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2014;7(2):189-206. Available from: https://sid.ir/paper/124093/en

IEEE: Copy

SEDIGHE ZAMANI MEHRYAN, and ALI REZA NEMATOLLAHI, “ASYMPTOTIC OF SCORE TEST STATISTIC IN LINEAR REGRESSION WITH STATIONARY AND NONSTATIONARY RESIDUALS,” JOURNAL OF STATISTICAL SCIENCES, vol. 7, no. 2, pp. 189–206, 2014, [Online]. Available: https://sid.ir/paper/124093/en

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