Unit root test of bounded AR(2)‎ model with constant and with independent errors

Abstract EN

In this paper, unit root test of bounded AR(2) model with constant and with independent errors has been derived, where estimation of the model, asymptotic distributions of OLS estimators under different tests of hypothesis and asymptotic distributions of the t-type statistics under different tests of hypothesis have been derived.

Also, the simulation results of the bias, mean squared error (MSE), Thiel's inequality coefficient(Thiel's U)and power of the test for OLS estimators of boundedAR(2) model with constant and with constant and with independent errors approved the alternative hypothesis H a more than the null hypothesis H 0.