TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES

Abstract

This paper deals with the distributions evolving from the likelihood‐ratio test for the factor 1 − B n in the lag polynomial Φ( B ) under the basic assumption that the data series is generated by the autoregressive model Φ( B ) X t = ε t where {ε t } denotes Gaussian white noise. A characterization of the statistic and its asymptotic properties is given. Asymptotic and finite‐sample significance points are tabulated. The test procedure is illustrated by an economics example.