소병수
신동완
2018-05-02T08:15:44Z
2018-05-02T08:15:44Z
2004
0233-1888
OAK-2146
http://dspace.ewha.ac.kr/handle/2015.oak/242784
For estimating unit roots of autoregressive processes, we introduce a new instrumental variable (IV) method which discounts large values of regressors corresponding to the unit roots. Based on the IV estimator, we propose new unit root tests whose limiting null distributions are standard normal. Observation at time t is adjusted for mean recursively by the sample mean of observations up to the time t. The powers of the proposed tests are better than those of the Dickey-Fuller tests and are comparable to those of the tests based on the weighted symmetric estimator, which are known to have the best power against stationary alternatives.
English
Normal tests for unit roots based on instrumental variable estimators
Article
2
38
SCI
SCIE
SCOPUS
123
132
Statistics
10.1080/02331880310001646635
WOS:000221196000004
2-s2.0-2442611953
Shin D.W.
So B.S.
소병수(7005199584)
신동완(7403352539)
20180501154303