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Improved likelihood-based inference for the stationary AR(2) model
(with F. Chang)
Journal of Statistical Planning and Inference , 140, 2010, pp. 2099-2110
Abstract: An improved likelihood-based method based on Fraser et al. (1999) is proposed in this paper to test the significance of the second lag of the stationary AR(2) model. Compared with the test proposed by Fan and Yao (2003) and the signed log-likelihood ratio test, the proposed method has remarkable accuracy. Simulation studies are performed to illustrate the accuracy of the proposed method. Application of the proposed method on historical data is presented to demonstrate the implementation of this method. Furthermore, the method can be extended to the general AR(p) model.
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