On The Inconsistency of The Unrestricted Estimator of The Information Matrix Near A Unit Root  

Oleh:

Magdalinos, Tassos

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 2 (2007), page 245-262.
Topik: matrix; unit root distribution; neighbourhoods of unity; information matrix; inconsistency; wald test; bahadur slopes
Fulltext: 245.pdf (541.14KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The unrestricted estimator of the information matrix is shown to be inconsistent for an autoregressive process with a root lying in a neighbourhood of unity with radial length proportional or smaller than n - 1 , i. e. a root that takes the form ?= 1 + c / na, a = 1 . In this case the information evaluated at converges to a non-degenerate random variable and contributes to the asymptotic distribution of a Wald test for the null hypothesis of a random walk versus a stable AR(1) alternative. With this newly derived asymptotic distribution, the above Wald test is found to improve its performance. A non - local criterion of asymptotic relative efficiency based on Bahadur slopes has been employed for the first time to the problem of unit root testing. The Wald test derived in the paper is found to be as efficient as the Dickey Fuller t ratio test and to out perform the non - studentised Dickey Fuller test and a Lagrange Multiplier test.

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