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Time
Seasonal
in
Roots
Unit
for
Testing
Series
Regression estimators of coefficients in seasonal autoregressive models are described. The percentiles of the
distributionsfor time series that have unit roots at the
seasonal lag are computedby Monte Carlointegrationfor
finite samples and by analytic techniques and Monte
Carlo integrationfor the limit case. The tabled distributions may be used to test the hypothesis that a time series
has a seasonal unit root.
(2.4)
+ e,,
yt = OtdYt-d
Iad I < .
KEY WORDS: Time series; Seasonal; Nonstationary; Furthermore,for normalstationaryYtsatisfying(2.4), Y,
Unit root.
ad Yt +d is a NID(O,a 2) time series. That is,
1. INTRODUCTION
- NID(O,cr2).
+ Vt,
(2.5)
Vt
Yt = tdyt+d
Let the time series Y, satisfy
yt
1, 2,
et,
ady,-d
. . .,
/(4
+
-1
n
ad
Y,-d2
Yt-dYt.
t=1
(yt-d
(2.1)
t=1
itd
-[(2n -
1)(1 -
(2.8)
-adYt)].
&d <
1 and that
&Ad)]i(1 + &d)<1,
where
n
S2 = (n
1)'
(Yt -
Y
t=
adY,-d)
355
356
where ni is the greatest integer not exceeding (n + d i)ld. The estimator ,i can be used to define a symmetric
estimator of td analogous to (2.6). We define
Independent Variable
Variable
n
=td
Y_1
Yo
Y1
Y_1
Y2
Y3
Yo
Y1
Y4
Y2
Y5
Y3
Y4
Y5
Y5
Y2
Y4
Y1
Y3
Y-1
Y=
Y.,-
E~~
0*1
t = 1, 2,
+ e,,
YtYt-d,
(2.12)
Fiit
=1
[ ]
d
atdYt-d
z
=
Y_1
ibit
Yo
Y=
(yt2 + yt_d
where
Y5
Y4
Y3
June 1984
Statistical Association,
. . .,
(2.9)
Otd
=[~
;,=Yt
L*I
Yt-d
Yt.-d
1K
x n
(2.13)
ld,
1f
Y.
E Yt-d
i= I
where
it = 1 if t = i (mod d)
= 0
- nI
otherwise,
(E y,
sd)j]
1t
d*
),
AA
Yt
8it6Li = ad
Yt-d
8itRi
+ e,,
nYt(t
(2.10)
(Y.d*)21}
y.*y.d*,
where
Oi -
Ud)tiq
i = 1, 2, .
(2.14)
,d.
E
j=O
-++j
where
n
Y. - 1i .
S=
(2.15)
3. LIMITING
REPRESENTATION
OF
REGRESSION
STATISTICS
when
cxl = 1 in m del(.). Dcey (17)baiet
The error in the estimator
1 is
O
wea
R1- 1 =
=t1
{vE
yt,,2}
1K
Y_e,
t=1
357
2m, we have
Ot
[
Yt-2
L422
tt=
t~
ytt2I
(n-1 -
[t=
(3.4)
n=
n-2
m
~_
E y2j132
-m
E Y2J-22+
t=
t=
( yt2 +
2)
Yd
y2i
i=I
(3.1)
i= I
Y2i = eo +
e2
and
= e-1
Y2i_1
+ el +
+ e2i_
t=
(,
2j=1
Dj
Li
T,2
j=l
2
E (Ti _ 1),
j=1
(Lj _W 2)]
[2~>
xl(?d
E
t=
Td
(3.2)
-1)
-d
>
Td
_I
j=l
in
j = 1, 2,
has a limitingdistribution.
BLJ2
where
Nj = E XjtXj,-I,
d)
1)
n(acd-
+ N2],
[DI + D2]1[N1
Y, +
(yt
>J2
t=
and n2
et 2
n-l
j = 1, 2,
X1,t1 2,
(3.3)
(Tj-
[aE
TsJd~~~~~
w1)
j) d
TjW
2 (T
L2
jW
Xj, = Y2, -j + I,
fl(oc
d*
' ~d{d E
1)
2
{jI
Od=
Ld
i= I
1d
n(.d
Naj,
j=l
D>zi
L
(7>d
Li1)
JE
d
(~ wj)}i
=-Ij
-d
L1 -
I]-
i)
W
(
where
m
N~,j = E Xjt,(Xi,
t It=
1-l),
j == 1, 2, ,
d,
x={d
22
1)-
j)(
(d
=
E (Xj, 1
D
=j
I
Xj(- ))2,
j =
1, 2, .
d,
dlO~
t=
-)2
L)
Xj, = Ydt- j+ 1,
T
rn=
XJ(I)~~~~~
and n
l(o&d -
1) >
-d2Li
(L1 -
w2)1
)}
358
[2d-2 n(1 -
where
is FVd(l), and
,d)]-
00
Wj = 2I
YkY Zjk,
FV2(1) = 4(2,rrl)- ,
Tj = 2i I
YkZjk,
FV4(1)
j=I
FV6(1) = 8(2iTl15)-
E (j + 1)(j + 2)
j=O
k= I
2(-
1)2},
k= 1
Yk
exp{-A1-'(2j +
j=O
k =1
)k+
x [(2j +
[(2k - 1)7r] 1,
FV12(l)
3)2
1]exp{-(21)-'(2j +
= 32(15)-'(21r"YI)-i
3)2}
4. ALTERNATIVE
FORTHELIMIT
REPRESENTATIONS
STATISTICS
DISTRIBUTIONS
OF THESYMMETRIC
Theorem 2. Let
Fud(l)
= 2
(d-1)
i-I
Xj,
x exp{-(161)-'(4j
ejk,
k= I
+ d)2],
where
Ljm = M2
+ d)2}KI[(161)-1(4j
jX2
Aj = Ir4[Fj{(d
t= I
- 1)}]
2, (_1)k[k!(j
k)!]--
k=O
FL(l) =
lim P E Lim C 1}
M-30 j=
I
OFSAMPLING
DISTRIBUTIONS
5. PERCENTILES
21(2+d)
[F(jd)]l
m-*oo
(-
1)W[F( + 1)]-
359
d=
d = 12
.50
.90
.95
.975
.99
-7.70
- 7.83
-7.94
-8.23
- 8.34
-8.41
-8.47
-5.62
-5.71
- 5.78
-5.93
- 5.99
- 6.02
-6.06
-.67
-.71
-.73
-.76
-.77
-.77
-.78
1.83
1.72
1.67
1.58
1.56
1.54
1.53
2.43
2.28
2.21
2.10
2.06
2.04
2.02
3.02
2.79
2.69
2.54
2.50
2.48
2.46
3.74
3.43
3.30
3.07
3.01
2.97
2.94
-10.89
-11.09
-11.23
-11.57
-11.70
-11.77
-11.85
-8.67
-8.86
-8.94
-9.08
-9.12
-9.14
-9.16
-6.40
-6.51
- 6.54
-6.59
-6.59
-6.59
-6.59
- .61
-.65
-.67
-.70
-.71
-.71
-.71
2.86
2.68
2.60
2.50
2.47
2.46
2.45
3.69
3.47
3.38
3.23
3.19
3.17
3.15
4.41
4.13
4.02
3.85
3.80
3.78
3.76
5.29
4.97
4.82
4.55
4.47
4.43
4.39
-14.25
-14.31
-14.33
-14.35
-14.35
-14.35
-14.35
-11.51
-11.55
-11.56
-11.57
-11.58
-11.58
-11.58
-8.76
-8.74
-8.73
-8.72
-8.72
-8.72
-8.72
-.53
-.62
-.65
-.69
-.69
-.69
-.69
5.54
5.25
5.13
4.97
4.93
4.92
4.90
7.02
6.66
6.52
6.34
6.30
6.28
6.27
8.09
7.82
7.69
7.49
7.42
7.39
7.36
9.70
9.17
8.97
8.71
8.65
8.63
8.61
.01
.025
20
30
40
100
200
400
-12.20
-12.67
-12.98
-13.63
-13.88
-14.01
-14.14
-9.66
-9.93
-10.11
-10.50
-10.65
-10.73
-10.81
x0
-13.87
-14.10
-14.31
-14.82
-15.04
-15.15
-15.27
120
180
240
600
1,200
2,400
00
-18.10
-18.04
-18.02
-18.00
-18.00
-18.00
- 17.99
X0
d=
.10
n = md
40
60
80
200
400
800
.05
n = md
.01
.025
.05
.10
.50
.90
.95
.975
.99
20
30
40
100
200
400
- 2.69
- 2.64
- 2.62
-2.58
- 2.57
-2.56
- 2.55
- 2.27
- 2.24
-2.23
-2.22
-2.22
-2.22
- 2.22
-1.94
-1.93
-1.93
-1.92
-1.92
-1.92
-1.92
-1.57
-1.58
-1.58
-1.59
-1.59
-1.59
-1.60
-.29
-.31
-.32
-.34
-.35
-.35
-.35
1.07
1.04
1.03
1.01
1.00
1.00
.99
1.48
1.43
1.42
1.39
1.38
1.38
1.38
1.85
1.79
1.76
1.72
1.71
1.70
1.69
2.28
2.21
2.18
2.12
2.10
2.09
2.08
-2.58
-2.57
-2.56
-2.56
-2.56
- 2.56
- 2.56
- 2.20
-2.20
-2.20
-2.20
-2.20
-2.20
- 2.20
-1.87
-1.89
-1.89
-1.90
-1.90
-1.90
-1.90
-1.51
-1.52
-1.53
-1.53
-1.53
-1.53
-1.53
-.20
-.21
-.22
-.23
-.24
-.24
-.24
1.14
1.10
1.09
1.07
1.07
1.07
1.07
1.53
1.49
1.47
1.45
1.44
1.44
1.44
1.86
1.82
1.80
1.78
1.77
1.77
1.77
2.23
2.20
2.18
2.17
2.16
2.16
2.16
-2.50
-2.49
-2.49
-2.49
- 2.49
- 2.49
-2.49
-2.08
-2.09
-2.10
-2.10
- 2.10
-2.10
-2.10
-1.77
-1.77
-1.77
-1.79
-1.79
-1.80
-1.80
-1.39
-1.41
-1.42
-1.43
-1.43
-1.43
-1.44
-.10
-.12
-.13
-.14
-.14
-.14
-.14
1.20
1.17
1.16
1.15
1.15
1.15
1.15
1.55
1.53
1.53
1.52
1.52
1.52
1.52
1.87
1.85
1.85
1.84
1.84
1.84
1.84
2.24
2.22
2.21
2.20
2.20
2.20
2.20
X0
d= 4
40
60
80
200
400
800
X0
d=
12
120
180
240
600
1,200
2,400
00
360
June 1984
Statistical Association,
Table 4. Percentiles for n(cia,d* - 1), the OrdinaryRegression Coefficient for the Single Mean Model
Probabilityof a Smaller Value
n = md
20
30
40
100
200
400
d = 2
X0
40
60
80
200
400
800
d = 4
X0
120
180
240
600
1,200
2,400
oc
d = 12
.01
.025
.05
.10
.50
.90
.95
.975
.99
-15.57
-16.82
-17.50
-18.81
-19.27
-19.50
-19.74
-13.15
-13.91
-14.36
-15.29
-15.63
-15.81
-15.99
-11.12
-11.71
-12.04
-12.68
-12.90
-13.02
-13.14
-8.97
- 9.36
- 9.56
-9.96
-10.10
-10.18
-10.25
-2.74
- 2.84
- 2.89
-2.96
-2.98
-2.99
- 3.00
.99
.88
.84
.76
.74
.73
.72
1.75
1.60
1.54
1.44
1.41
1.39
1.38
2.41
2.21
2.12
1.97
1.93
1.91
1.89
3.19
2.92
2.79
2.59
2.53
2.50
2.47
-17.40
-17.85
-18.16
-18.90
-19.19
-19.35
-19.50
-14.16
-14.59
-14.80
-15.19
-15.32
-15.38
-15.44
-11.66
-12.01
-12.17
-12.45
-12.54
-12.58
-12.62
-9.14
-9.27
- 9.35
-9.52
-9.58
-9.62
- 9.65
-2.06
-2.10
-2.12
-2.17
-2.19
- 2.20
-2.21
2.16
1.98
1.91
1.81
1.79
1.78
1.78
3.10
2.86
2.77
2.64
2.61
2.60
2.59
3.87
3.60r
3.49
3.33
3.29
3.27
3.25
4.78
4.45
4.31
4.11
4.05
4.02
4.00
-20.16
- 20.28
- 20.35
- 20.47
- 20.52
-20.54
- 20.56
-16.35
-16.42
-16.47
-16.60
-16.65
-16.68
-16.71
-13.43
-13.55
-13.59
-13.64
-13.65
-13.65
-13.65
-1.67
-1.73
-1.76
-1.81
-1.82
-1.83
-1.84
4.77
4.52
4.41
4.27
4.23
4.21
4.20
6.44
6.01
5.85
5.69
5.66
5.66
5.66
7.63
7.21
7.05
6.84
6.80
6.78
6.77
9.03
8.65
8.48
8.19
8.10
8.06
8.02
-10.50
-10.47
-10.45
-10.44
-10.44
-10.44
-10.44
2n,
2n
(Yty,
t=
MP - OlmP-' -
k )2
[Yt -_
=n
(Y
-Yn)]
t=
2n
(1Y,
n) - 2n(y
yn)
t=
- (2n)n-1
=
Es
r=
ej -
(E
-(1
0)
01B -02B
Eten-i)
Y, ej
4 j=)
t=l j=
r-
en+j)
(?
O
0PBP) Y.-d(&d
td)
'L
e,(&d edt(d,0)
+ z
en-j)
(tj
?E
(6.2)
2n
-p - op = 0
r
i=
- (2n)-' E ,
I
n
r-I
(-en_-)+
Lr=ij=O
ad Y.-di)(Oi
O) + r,,
en +j
r=
-n-I
i= 1
j=0
(Y-
-,
12
en+j
r=Ij=_
1):
d = 2 andt2=
[(1
1.
61B
02B2
By
d,
MODELS
ORDER
6. HIGHER
A popular model for seasonal time series is the multiplicative model
(1
OtdBd)(l
- 01B
OpBP)Y
= e,
(6.1)
whereB is the backshiftoperatordefinedby B( Y,) = Y,and e, is a sequenceof iid (0, CJ2) randomvariables.
td
361
Table 5. Percentiles for T,d*, the Studentized Test for the Single Mean Model
Probabilityof a Smaller Value
.01
.025
.05
.10
.50
.90
.95
.975
.99
20
30
40
100
200
400
00
-3.54
-3.44
-3.40
-3.31
- 3.28
- 3.27
- 3.25
-3.08
- 3.02
- 3.00
- 2.95
- 2.93
- 2.93
- 2.92
- 2.72
- 2.69
- 2.68
- 2.65
-2.64
- 2.64
- 2.63
- 2.32
-2.31
-2.31
-2.31
-2.31
-2.31
-2.31
-.97
-1.01
-1.02
-1.05
-1.05
-1.06
-1.06
.49
.46
.44
.41
.40
.40
.40
.92
.88
.86
.83
.83
.82
.82
1.31
1.25
1.22
1.19
1.19
1.18
1.18
1.76
1.68
1.65
1.61
1.60
1.59
1.59
40
60
80
200
400
800
- 3.14
-3.11
-3.09
-3.07
- 3.06
-3.06
- 3.05
- 2.73
- 2.71
- 2.71
-2.70
- 2.70
- 2.70
- 2.70
-2.38
- 2.38
- 2.38
-2.38
-2.38
- 2.38
-2.38
- 2.00
-2.00
- 2.01
-2.02
- 2.02
- 2.02
- 2.03
-.60
-.63
-.64
-.66
-.67
-.67
-.67
.80
.76
.74
.72
.72
.72
.72
1.19
1.15
1.13
1.11
1.11
1.10
1.10
1.54
1.49
1.47
1.46
1.45
1.45
1.45
1.94
1.89
1.87
1.86
1.85
1.85
1.85
-2.01
- 2.02
- 2.02
- 2.04
- 2.05
- 2.06
- 2.06
-1.65
-1.66
-1.66
-1.66
-1.66
-1.66
-1.66
-.31
-.33
- .34
-.35
-.35
- .36
-.36
1.02
.99
.98
.97
.96
.96
.96
1.38
1.35
1.34
1.34
1.33
1.33
1.33
1.71
1.68
1.67
1.66
1.65
1.65
1.65
2.08
2.06
2.05
2.03
2.02
2.02
2.01
d=
md
X0
120
180
240
600
1,200
2,400
d = 12
X0
2.73
2.73
2.73
2.73
2.73
2.74
2.74
Y, - 0,
--
2.33
2.35
2.36
2.37
2.37
2.37
2.37
Z,-d
Zt
on Z,d,
t-
,.d
kt
1), the Ordinary Regression Coefficient for the Seasonal Means Model
Probability of a Smaller Value
n = md
.01
.025
.05
.10
20
30
40
100
200
400
00
-18.98
- 20.89
-22.02
- 24.32
-25.17
- 25.62
- 26.07
-16.75
-18.19
-19.03
- 20.76
-21.39
- 21.72
- 22.06
-14.96
-16.01
-16.64
-17.95
-18.44
-18.69
-18.95
-12.78
-13.62
-14.09
-15.05
-15.40
-15.58
-15.76
40
60
80
200
400
800
- 28.78
- 30.63
-31.79
- 34.26
-35.20
-35.69
- 36.19
- 25.59
- 27.18
- 28.12
-30.03
- 30.73
-31.10
- 31.47
- 23.10
- 24.49
- 25.27
- 26.78
- 27.32
-27.60
- 27.88
- 20.40
- 21.42
- 22.00
- 23.15
- 23.56
-23.78
- 24.00
-60.72
-63.40
- 64.90
-67.87
- 68.93
- 69.48
-70.04
-55.63
- 57.83
-59.21
- 62.16
- 63.29
- 63.87
- 64.48
-51.22
- 53.57
- 54.89
- 57.52
- 58.47
- 58.95
- 59.45
-46.98
- 49.14
- 50.28
- 52.44
- 53.19
- 53.57
- 53.95
x0
d = 12
120
180
240
600
1,200
2,400
xc
.50
.90
.95
-6.48
- 6.76
-6.91
- 7.20
-7.30
- 7.35
-7.41
-1.94
-2.11
-2.18
-2.31
- 2.35
- 2.37
- 2.39
- .83
-1.01
-1.10
-1.25
-1.30
-1.33
-1.35
.10
-.11
-.21
-.40
-.46
-.49
-.52
-11.89
-12.33
-12.58
-13.06
-13.23
-13.32
-13.41
- 5.40
- 5.73
- 5.87
- 6.09
- 6.15
-6.18
- 6.21
- 3.90
-4.15
- 4.28
- 4.51
-4.59
-4.63
- 4.67
- 2.51
- 2.81
- 2.96
- 3.20
- 3.28
-3.32
- 3.35
-33.65
- 34.95
-35.57
- 36.65
- 36.99
- 37.16
-37.33
-22.13
- 23.06
- 23.48
- 24.16
- 24.37
- 24.47
- 24.56
-19.46
- 20.00
- 20.31
- 20.92
- 21.14
- 21.26
- 21.37
.975
-17.09
-17.44
-17.70
-18.34
-18.60
-18.74
-18.88
.99
1.16
.92
.79
.55
.46
.42
.38
-1.05
-1.33
-1.47
-1.74
-1.83
-1.87
-1.92
-14.25
-14.57
-14.86
-15.57
-15.87
-16.03
-16.20
362
Table 7. Percentiles of Tp,d, the Studentized Statistic for the Seasonal Means Model
Probabilityof a Smaller Value
n = md
d=
12
.025
.05
.10
.50
.90
.95
.975
20
30
40
100
200
400
-4.46
-4.25
-4.15
-4.00
-3.95
-3.93
-3.98
-3.84
-3.77
-3.66
-3.63
-3.62
-3.60
-3.50
- 3.45
-3.38
-3.36
-3.35
-3.18
-3.13
-3.11
-3.07
-3.05
-3.05
-1.92
-1.95
-1.96
-1.99
-1.99
-2.00
-.66
-.73
-.76
-.81
-.83
-.83
-.29
-.36
-.40
-.46
-.48
-.49
.03
-.04
-.08
-.15
-.18
-.19
.42
.34
.29
.21
.18
.17
00
-3.90
- 3.60
- 3.34
-3.04
- 2.00
-.84
-.50
-.20
.15
40
60
80
200
400
800
00
-5.01
-4.85
-4.78
-4.67
-4.64
-4.62
-4.61
-4.57
-4.46
-4.41
-4.34
-4.32
-4.31
-4.30
-4.21
-4.14
-4.11
-4.06
-4.05
-4.04
-4.04
-3.83
-3.79
-3.78
-3.75
-3.74
- 3.74
-3.73
-2.55
- 2.58
-2.60
-2.63
- 2.64
- 2.65
-2.65
-1.30
-1.36
-1.40
-1.45
-1.47
-1.48
-1.49
-.94
-1.01
-1.05
-1.11
-1.14
-1.15
-1.16
-.61
-.70
-.74
-.81
-.84
-.85
-.86
-.26
-.35
-.39
-.46
-.48
-.49
-.50
- 6.63
-6.52
-6.47
-6.39
-6.37
- 6.36
-6.35
- 6.20
-6.15
-6.13
-6.09
-6.07
- 6.07
-6.06
-5.86
-5.84
-5.83
-5.82
-5.82
- 5.82
-5.82
- 5.49
-5.49
-5.49
-5.49
-5.49
-5.49
-5.49
-4.21
-4.27
-4.30
-4.34
-4.35
-4.36
-4.36
- 2.97
-3.06
-3.10
-3.17
-3.19
-3.20
-3.22
- 2.62
-2.71
-2.75
-2.83
-2.86
- 2.87
- 2.88
- 2.35
-2.39
-2.43
-2.52
-2.56
- 2.58
- 2.60
-1.95
-2.01
-2.05
-2.18
-2.23
- 2.26
- 2.29
120
180
240
600
1,200
2,400
0c
12
.10
.50
.90
.95
.975
.99
-8.31
-9.12
-9.59
-10.54
-10.89
-11.07
-11.26
-6.92
- 7.48
- 7.79
-8.40
-8.63
-8.74
-8.86
- 5.37
-5.71
-5.90
-6.27
- 6.40
-6.46
-6.53
-1.57
-1.62
-1.64
-1.69
-1.71
-1.71
-1.72
-.42
-.42
-.42
-.42
-.42
-.42
-.42
-.33
-.31
-.31
-.30
-.30
-.30
-.30
-.27
-.25
-.25
-.24
-.24
-.24
-.23
-.22
-.21
-.20
-.19
-.18
-.18
-.18
-12.94
-13.83
-14.29
-15.16
-15.46
-15.61
-15.76
-10.62
-11.11
-11.40
-12.01
-12.24
-12.36
-12.48
-8.71
-9.12
-9.34
-9.75
- 9.90
-9.97
-10.05
-6.82
- 7.09
- 7.24
-7.50
- 7.59
- 7.64
-7.68
-2.50
-2.54
- 2.56
-2.61
- 2.62
- 2.63
-2.64
-1.01
-.99
-.98
-.97
-.97
-.97
-.97
-.82
-.79
-.78
-.77
-.76
-.76
-.76
-.70
-.67
-.66
-.64
-.63
-.63
-.63
-.60
-.56
-.54
-.52
-.51
-.51
-.51
-16.21
-16.77
-17.10
-17.77
-18.02
-18.15
-18.28
-13.61
-13.86
-14.06
-14.55
-14.74
-14.85
-14.95
-11.45
-11.73
-11.90
-12.23
-12.35
-12.41
-12.48
-9.38
-9.57
-9.68
-9.89
- 9.97
-10.01
-10.05
-4.46
-4.49
-4.51
-4.55
-4.57
-4.58
-4.59
- 2.35
-2.31
-2.29
- 2.27
-2.26
- 2.26
-2.26
-2.01
-1.96
-1.93
-1.90
-1.90
-1.89
-1.89
-1.77
-1.71
-1.68
-1.65
-1.64
-1.63
-1.63
-1.57
-1.49
-1.45
-1.41
-1.40
-1.39
-1.39
- 26.43
- 27.39
-27.77
- 28.29
- 28.42
- 28.47
- 28.52
- 23.58
- 24.02
-24.26
- 24.70
- 24.86
- 24.94
- 25.02
- 21.29
- 21.56
-21.72
- 22.07
- 22.20
- 22.27
- 22.34
- 18.78
- 19.04
- 19.18
- 19.44
- 19.53
- 19.57
- 19.62
- 12.42
- 12.49
- 12.52
- 12.55
- 12.55
- 12.55
- 12.55
- 8.57
- 8.43
-8.38
- 8.32
- 8.31
- 8.31
- 8.30
- 7.82
- 7.65
-7.58
- 7.48
- 7.46
- 7.45
- 7.44
- 7.25
- 7.06
-6.98
- 6.85
- 6.82
- 6.80
- 6.78
- 6.64
- 6.35
-6.25
- 6.13
- 6.12
- 6.11
- 6.11
.025
10
15
20
50
100
200
-9.98
-11.18
-11.89
-13.38
-13.93
-14.22
-14.51
20
30
40
100
200
400
40
60
80
200
400
800
cc
.05
.01
cc
n= md
0c
.99
.01
120
180
240
600
1200
2400
cc
363
Table 9. Percentiles of n(a6,d* - 1), the Symmetric Estimator for the Single Mean Model
Probabilityof a Smaller Value
n = md
10
15
20
50
100
200
00
d = 2
20
30
40
100
200
400
00
40
60
80
200
400
800
00
12
120
180
240
600
1,200
2,400
00
.01
.025
.05
.10
.50
.90
.95
.975
.99
-12.64
-14.77
-15.97
-18.38
-19.25
-19.70
-20.16
-11.28
-12.71
-13.55
-15.30
-15.95
-16.28
-16.62
-9.92
-11.01
-11.62
-12.81
-13.24
-13.45
-13.68
-8.38
-9.14
-9.55
-10.32
-10.59
-10.73
-10.87
-3.84
-3.96
-4.02
-4.13
-4.17
-4.19
-4.21
-1.51
-1.47
-1.46
-1.45
-1.44
-1.44
-1.44
-1.20
-1.15
-1.13
-1.10
-1.09
-1.09
-1.08
-1.01
-.96
-.93
-.88
-.86
-.85
-.84
-.86
-.78
-.75
-.70
-.69
-.68
-.67
-15.88
-17.23
-17.93
-19.25
-19.70
-19.93
-20.16
-13.48
-14.45
-14.97
-15.94
-16.28
-16.45
-16.62
-11.57
-12.24
-12.59
-13.23
-13.45
-13.56
-13.68
-9.51
-9.95
-10.18
-10.59
-10.73
-10.80
-10.87
-4.02
-4.08
-4.11
-4.17
-4.19
-4.20
-4.21
-1.46
-1.45
-1.45
-1.44
-1.44
-1.44
-1.44
-1.13
-1.11
-1.11
-1.09
-1.09
-1.09
-1.08
-.93
-.90
-.89
-.86
-.85
-.85
-.84
-.75
-.72
-.71
-.69
-.68
-.68
-.67
-18.97
-19.62
-20.03
-20.89
-21.21
-21.38
-21.56
-16.13
-16.51
-16.79
-17.47
-17.74
-17.88
-18.03
-13.86
-14.08
-14.26
-14.70
-14.88
-14.98
-15.08
-11.45
-11.65
-11.77
-12.05
-12.16
-12.21
-12.27
-5.46
-5.51
- 5.53
-5.59
-5.61
-5.62
-5.63
- 2.74
- 2.70
- 2.69
- 2.67
-2.67
- 2.66
-2.66
- 2.32
- 2.26
- 2.24
-2.21
-2.20
-2.20
-2.20
- 2.02
-1.97
-1.94
-1.89
-1.87
-1.86
-1.85
-1.76
-1.68
-1.64
-1.60
-1.59
-1.58
-1.58
-28.27
-28.91
-29.25
-29.94
-30.18
-30.31
-30.43
-25.14
-25.63
-25.92
-26.49
-26.69
-26.80
-26.91
- 22.77
- 22.96
-23.12
-23.51
-23.67
-23.76
-23.85
- 20.09
- 20.28
-20.41
-20.70
-20.81
-20.87
- 20.93
-9.01
-8.87
-8.82
-8.76
-8.75
-8.75
-8.75
-8.16
-8.01
-7.95
-7.86
- 7.84
-7.83
-7.82
-7.51
-7.38
-7.30
-7.16
-7.11
-7.08
- 7.06
-6.98
-6.70
-6.59
-6.45
-6.42
-6.40
- 6.39
-13.15
-13.24
-13.28
-13.31
-13.32
-13.32
-13.32
n= md
.01
.025
.05
.10
.50
.90
20
30
40
100
200
400
-19.24
-21.01
-22.00
-23.95
-24.65
-25.01
-25.37
-16.90
-18.22
-18.96
-20.45
-20.99
-21.26
-21.54
-14.97
-16.04
-16.58
-17.59
-17.93
-18.10
-18.28
-12.86
-13.61
-13.99
-14.67
-14.90
-15.01
-15.13
-6.85
-6.96
-7.02
-7.13
-7.17
-7.19
-7.21
-3.46
-3.39
-3.36
-3.32
-3.31
-3.30
-3.29
-28.95
-30.89
-31.85
-33.53
-34.08
-34.35
-34.63
-26.00
-27.35
-28.06
-29.41
-29.88
-30.12
-30.36
- 60.83
- 63.22
- 64.30
- 66.06
- 66.59
- 66.85
-67.10
- 56.03
-58.06
- 59.02
- 60.63
- 61.14
- 61.39
- 61 .64
-23.23
-24.41
-24.98
-25.97
-26.29
-26.45
-26.61
- 52.50
- 54.17
- 54.89
- 56.02
- 56.35
- 56.50
- 56.65
-20.59
-21.44
-21.84
-22.52
-22.74
- 22.84
-22.95
- 48.69
- 49.67
- 50.17
- 51 .07
- 51.37
- 51.52
- 51 .67
-12.83
-12.90
-12.95
-13.08
-13.13
-13.16
-13.19
- 36.64
- 36.74
- 36.81
- 37.00
- 37.08
- 37.12
- 37.16
-7.88
-7.72
-7.66
- 7.57
-7.54
-7.53
-7.53
- 27.56
- 27.20
- 27.05
- 26.87
- 26.82
- 26.81
- 26.79
00
40
60
80
200
400
800
00
12
120
180
240
600
1,200
2,400
X0
.95
.975
.99
- 2.92
-2.82
-2.78
-2.71
-2.69
-2.68
-2.68
-2.55
-2.44
-2.38
-2.28
-2.25
-2.23
-2.22
-2.22
-2.07
-2.01
- 1.91
-1.89
-1.87
-1.86
-6.95
-6.74
-6.65
-6.53
-6.49
-6.48
-6.47
- 25.69
- 25.14
- 24.92
- 24.61
- 24.54
- 24.50
- 24.47
-6.28
-6.03
-5.92
-5.74
-5.68
-5.65
-5.63
- 24.02
- 23.50
- 23.25
- 22.79
- 22.64
-22.57
- 22.49
-5.58
-5.32
-5.21
-5.03
-4.98
-4.95
-4.93
- 22.39
- 21 .62
- 21.32
- 20.90
- 20.81
- 20.76
- 20.73
364
01F
aYdFd)(l
0pFP)Y
(Y-p-d?l,
Y-p-d+2,
Yn Mg
M, . .. 9MgYns.... 9Y-p-dJrl).
Statistical Association,
June 1984
.995.
A,
AA
SYMMETRIC
STATISTICS
7. POWERSTUDY
Statistic
.995
.99
.98
.95
.90
.85
.80
.70
.60
&4
.001
.003
.018
.13
.47
.81
.96
1.00
1.00
i4
.090
.114
.170
.35
.66
.88
.97
1.00
1.00
.001
.044
.054
.054
.000
.054
.005
.062
.057
.054
.002
.055
.017
.102
.064
.059
.005
.064
.09
.22
.10
.08
.04
.10
.35
.47
.19
.13
.21
.19
.65
.72
.32
.20
.50
.34
.88
.90
.50
.33
.79
.53
1.00
1.00
.84
.65
.99
.86
1.00
1.00
.97
.89
1.00
.99
&?L4*
Tt4*
a,,
TL4
&pA4*
&,>4
365
tf
and thus
E{exp( - t V)}
so that
exp(- 1 t)FL(l) dl
= 2Id
=
t} dFv(l)l
Fv(l)
[sinh(2t)l]-dl2
Now
t -'[cosh(2t)I]
x
-exp
? -{[t(sinh(2t)I)Wd]
1(2t)/}.
We have
[cosh(2t)I]dl2}.
{t
[(sinh(2t)i) - (2t)i]i'
t[cosh(2t)id2
t-1
(20)d/4
exp[ - d(2t)i2
23d/4 t(d4)/4
exp[ - d(2t)i2 -]
[1 - exp{ - 2(2t)i}]
-I
-Id
t-
exp[-hd(2t)I]
2Id -exp[
-d(2t)i]
[I + exp(-2(2t)I)]
z
Id
00
Xz
(-l)'[r(4d)
[F(j + l)F('
1 d)exp{- 2j(2t)I}.
j=O
j=0
Thus
j
W1?I{t(d4)/4exp[-2i(2j
Fv(l) = ,rrjC
Therefore,
+ d)ti]}.
j=O
FL(l) = [r(ld)]'
2id
where
fit) = t-' exp{-2 -(4j
+ d)tI}.
[t-' exp{-kt1}]
U = 1, Li -
W12 =
(LI
i= I
W,2) + a Li,
i=2
C2
Wj(4j + d)
j=0
x al
(81)-l'(4j + d)2}],
d
2(2d+
1)/4
[1 +
x ,
t- i exp{- d(2t)12-'}
exp{-2(2t)
2(2d+ l)/4
(-
`'P
}](l-d)2[l
- exp{-2(2t)I}]-I
t- i exp{- d(2t)i2-'}
l)k[k!F((d - 1)/2)]-1
k=O
2 (mod 4),
where
C = [7rTrF('d)]
23d/4
j=O
2(2d+
1)/4
2
j=O
366
where
andif Y, = Y, -
then f, is stationary,exceptfor
Y.-d,
- k)!]-
()k[k!(j
[n
k=O
- E(Yn2)] = 0p(n
-t2
E eeY,1
0,(nl),
and by standardtheory of stationarytime series, ,o - o0
Y -'{t-iexp( - t1b)}
= Op(n-) when Oiis estimatedby ordinaryleast squares
= Tr-' bl(21) -exp{ - (81)-' b2}Kj((81)-' b2). from the Y, series.
Now the series
We now establish the relationshipbetween U and n(l 2
L,,d*). Let Q be a d x d orthonormalmatrix with ljth
tt,
IB - 02B2
et= (1 entry qlj = d-1. Let X, = (Xlt, X2t,
, Xdt)'. Let Zt
regressed on
= Q
Notice that
The result follows because
Xt.
d
a
(1
Y.tr(X,X,t')
yaXit2=
t=1
j=lt=l
t=l
where Zt
(Zlt, Z2t,
j=lt=l
(1
diE Zit,
E E xt=
(dM)-1
Xj=21
(=
i=lt=l
j=l
d
_
j=lt=l
t=l
m
'IC'
0IB
\2
1, denoted by X, and
OpBP)kYt
BP)Y,td
p-
t=1
so that
d
OPB)Ytd,
j=lt=l
02B2-
on
Furthermore,
Zdt)'.
43,t
tr(QXtX,'Q') =
01B
-7
jt2-(dm)-
--...-
I_-IB
Do
OpBP)Yt-d]2
01B
PBP-
B))Yt,d]2}
=
Zit}
Op(n-i)
t=l
because
n
(Oioi - Oi0j)
t= I
y2=Op(ni)
md
Y= (md)
Similarly,
Y, Yt
t= 1
n- Ee^t(l
is
md
yt2
t=1t=1
d
-
EYt
-(md1
E zit
j=lt=l
(md)-
_-m-
j=1t= 1
m
Thus n(X - A)
2
0IB
02B2
e t(I - 0 1B -
OpBP)Yt
'*-OpBP)
-d
Yt -d +
Op (n-i.
A_
m
X2
-n
)2
(md
t=l
z Zt
.
Op(n -),
- OIB -
-- - OpBP)(Yt-d
Y)
It follows that the limit distributionof n(I - &,,d*) is the shows, in exactly the same manner as before, that the
sameas thatof d2 {Jd_l Lj _ W1211
estimators differ by Op(n-i).
The inclusion of Yt ,IYt2, . . . , Yt-p in the regresAPPENDIXB
sions allows for Gauss-Newton improvementsof 0i but
To prove the results for extension to higher order does not affect the limit distribution of n(&d - 1), since
= Op (n).
models, simply note that if
E Y,-dY,-j
(1 - Bd)(1 - O,B - 02132
= e
[Received November 1982. Revised January 1984.1
-* -OpBP)Y
-
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