Limiting Distribution of the Score Statistic under Moderate Deviation from a Unit Root in MA(1).
Limiting Distribution of the Score Statistic under Moderate Deviation from a Unit Root in MA(1).
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MA(1) 中单位根适度偏差下分数统计量的极限分布。
DOI：
10.1111/j.1467-9892.2011.00761.x
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发表时间：
2012
影响因子：
0.9
通讯作者：
Yabe Ryota
中科院分区：
文献类型：
--
作者：
Tomoko Kubo;Toshiki Yamamoto;Michihiro Mashita;Misao Hashimoto;Konstantin Greger;Tom Waldichuk and Keisuke Matsui;Yabe Ryota
本文在一阶移动平均模型[MA(1)]中，得到了单位根中偏离单位根时田中得分统计量的渐近分布。根据偏差的大小，将极限分布分为三类。在最快的情况下，渐近分布的收敛阶从可逆过程连续变化到单位根过程。在最慢的情况下，极限分布与可逆过程中的极限分布在分布意义上重合。这意味着它们有一个共同的渐近性质。中间情况下的极限分布具有最快情况和最慢情况之间的边界性质。
This article derives an asymptotic distribution of Tanaka's score statistic under moderate deviation from a unit root in a moving average model of order one [MA(1)]. The limiting distribution is classified into three types depending on the order of deviation. In the fastest case, the convergence order of the asymptotic distribution continuously changes from the invertible process to the unit root one. In the slowest case, the limiting distribution coincides with one in the invertible process in the distribution sense. This implies that they share a common asymptotic property. The limiting distribution in the intermediate case has the boundary property between the fastest case and the slowest one.