Tests of Linear and Logarithmic Transformations for Integrated Processes
作者:
Masahito Kobayashi,
Michael McAleer,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1999)
卷期:
Volume 94,
issue 447
页码: 860-868
ISSN:0162-1459
年代: 1999
DOI:10.1080/01621459.1999.10474191
出版商: Taylor & Francis Group
关键词: Data transformation;Integrated process;Nonnested test
数据来源: Taylor
摘要:
This article proposes nonnested tests of linear and logarithmic transformations of integrated processes against each other, where the innovations of both series follow autoregressive processes. It is shown that the null distributions of the test statistics for both the linear and logarithmic transformations are nonstandard when the processes have no drift, whereas they are asymptotically normal when the processes have positive drift. Monte Carlo experiments and illustrative empirical examples are provided to show the practical usefulness of the tests in differentiating between linear and logarithmic transformations of a process in finite samples.
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