Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Testing the Randomness of the Coefficients In First Order Autoregressive Processes

  • Park, Sangwoo (Korea Investor′s Service) ;
  • Lee, Sangyeol (Department of Statistics, Seoul National University) ;
  • Sun Y. Hwang (Department of Statistics, Sookmyung Women′s University)
  • Published : 1998.06.01
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Abstract

In this paper, we are concerned with the problem of testing the randomness of the coefficients in a first order autoregressive model. A consistent test based on prediction error is suggested. It is shown that under the null hypothesis, the test statistic is asymptotically normal.

Keywords

References

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