Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors

Meshaal El-Sayed, Sayed; A. E., Ahmed; Farouk Ahmed, Mohamed Ahmed

doi:10.21608/esju.2021.189437

Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors

Document Type : Original Article

Authors

¹ Department of Applied Statistics and Econometrics, Faculty of Graduate Studies for Statistical Research, Egypt

² High Institute of Computer and Information Technology, Al-Shorouk Academy, Cairo, Egypt

10.21608/esju.2021.189437

Abstract

In this paper, unit root test of bounded AR (2) model with constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions of the t-type statistics under different tests of hypothesis have been derived. Also, the simulation results of the bias, mean squared error (MSE), Thiel's inequality coefficient (Thiel's U) and power of the test for OLS estimators of bounded AR (2) model with constant and with constant and with independent errors approved the alternative hypothesis H_a more than the null hypothesis H₀.

Keywords