The distribution of the Yule-Walker estimator for autoregressive time series with a unit root

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概要

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• This paper investigates the exact finite sample and limiting distributions of the normalized Yule-Walker(YW) estimator of α in the model yt = αyt-1 + ut where α=1 and the ut are independently identically distributed N(O, σ?). For the practical purpose of testing a unit root in time series regression, the tabulated values of the critical points for various sample size and levels of significance are obtained by numerical integration. By a numerical power comparison it is shown that the YW estimator can be used as an alternative test for detecting a unit root however none of the normalized OLS estimator, the t-statistic, the normalized Durbin-Watson statistic and the normalized YW estimator is uniformly superior.

• 香川大学経済研究所の論文

著者

• 久松 博之

  香川大学経済学部

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