Meshaal El-Sayed, S., Amin El_sheikh, A., Ahmed Farouk, M. (2020). Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors. test, 64(1), 34-53. doi: 10.21608/esju.2021.189437
Sayed Meshaal El-Sayed; Ahmed Amin El_sheikh; Mohamed Ahmed Farouk. "Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors". test, 64, 1, 2020, 34-53. doi: 10.21608/esju.2021.189437
Meshaal El-Sayed, S., Amin El_sheikh, A., Ahmed Farouk, M. (2020). 'Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors', test, 64(1), pp. 34-53. doi: 10.21608/esju.2021.189437
Meshaal El-Sayed, S., Amin El_sheikh, A., Ahmed Farouk, M. Unit Root Test of Bounded AR(2) Model with Constant and with Independent Errors. test, 2020; 64(1): 34-53. doi: 10.21608/esju.2021.189437

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

The Egyptian Statistical Journal
Article 3, Volume 64, Issue 1, June 2020, Pages 34-53    PDF (609.89 K)
Document Type: Original Article
DOI: 10.21608/esju.2021.189437
Authors
Sayed Meshaal El-Sayed* ; Ahmed Amin El_sheikh; Mohamed Ahmed Farouk
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 H 0.
Keywords
Bounded AR (2) model; asymptotic distributions; OLS Estimators; tests of hypothesis; the t-type statistics; mean squared error; Thiel's inequality coefficient and power of the test
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