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В разделе собрана информация о статьях по экономике, социологии и менеджменту. Во многих случаях приводятся полные тексты статей. (подробнее...)

Biometrika

Опубликовано на портале: 13-04-2004
Peter Charles Bonest Phillips, Pierre Perron Biometrika. 1988.  Vol. 75. No. 2. P. 335-346. 
This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey ${\tt\&}$ Fuller. Simulations are reported on the performance of the new tests in finite samples.
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Опубликовано на портале: 05-01-2003
David A. Dickey, Elmahdy Said Said Biometrika. 1984.  Vol. 71. No. 3. P. 599-607. 
Recently, methods for detecting unit roots in autoregressive and autoregressive-moving average time series have been proposed. The presence of a unit root indicates that the time series is not stationary but that differencing will reduce it to stationarity. The tests proposed to data require specification of the number of autoregressive and moving average coefficients in the model. In this paper we develop a test for unit roots which is based on an approximation of an autoregressive-moving average model by an autoregression. The test statistic is standard output from most regression programs and has a limit distribution whose percentiles have been tabulated. An example is provided.
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Опубликовано на портале: 31-03-2004
John Aitchison, Samuel D. Silvey Biometrika. 1957.  Vol. 44. No. 1/2. P. 131-140. 
The generalized probit analysis which we will discuss in this paper arose from a problem in entomology. We will suggest a solution to this particular problem and then consider a more general situation where this method of solution might be appropriate.
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Опубликовано на портале: 07-04-2004
Greta M. Ljung, George E.P. Box Biometrika. 1979.  Vol. 66. No. 2. P. 265-270. 
This paper examines the likelihood function of a stationary autoregressive-moving average model of order (p,q) and presents a method for its evaluation. Numerical results illustrating the computational efficiency of the method are given.
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