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Asymptotics of the Variance Ratio Test for MA Unit Root Processes
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 Title & Authors
Asymptotics of the Variance Ratio Test for MA Unit Root Processes
Lee, Jin;
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 Abstract
We consider the asymptotic results of the variance ratio statistic when the underlying processes have moving average(MA) unit roots. This degenerate situation of zero spectral density near the origin cause the limit of the variance ratio to become zero. Its asymptotic behaviors are different from non-degenerating case, where the convergence rate of the variance ratio statistic is formally derived.
 Keywords
Variance ratio test;moving average unit root;spectral density;degeneracy;
 Language
English
 Cited by
 References
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