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identifierDA Study on Robust Sign Tests for Unit Roots in MTAR and Panel Models!MTAR@ ( X D \ l2005Y ĬYtTŐYP YDoctorٳDDoctoral Thesis
This work presents nonparametric methods for testing unit roots in two different model, a momentum threshold autoregressive(MTAR) and a cross-sectionally
dependent panel. First, we develop a sign test for unit roots in an MTAR process. The proposed test is robust to heteroscedastic or heavy tailed errors and is
invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established.A Monte-Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin(2001). Next, we provide a sign test in cross-sectionally dependent panel data. Large sample Gaussian null asymptotics of the test are established under (fixed N, large T) and, for serially uncorrelated error cases, under (large N, fixed T), where N is the number of panel units and T is the length of time span. The null distributions are valid even if the error processes are subject to any type of conditional heteroscedasticity.
A Monte-Carlo experiment reveals that, compared to other existing tests, the proposed test has a very stable size property for a wider class of error distributions, type of conditional heteroscedasticities, type of cross-sectional correlation, and value of (N; T) while having reasonable power. Especially, for small T like T = 5; 10; 20, the proposed test shows much stabler size performance than other existing tests. Unemployment rates of the 51 states of USA are analyzed by the proposed method, which reveal some evidence for unit roots in the presence of factor and spatial cross-section correlation.; |8@ MTAR(momentum threshold autoregressive) P( (cross-sectional dependency)t tȬXՔ ((panel) X 8(sign)| tǩ\ D )D H\.
MTAR X 8 @ YD tǩ\ )(recursive median adjustment)D X ȴ Ĭ ̸ X p 9@ p h Xt D ĳ ĬɷX ٳ|XՌ . \ ptX |X1(consistency)t 1Xp 1D ̹qX Jp , P | $( tĳ \¸\ 1t LD ɅX. L|\ H )t ҈ (partial unit root) t %t hD .
( X Ŕ \ ųt J@ ̸(cross-section)X | N, Ĭ ̸X l0| T| `L T > N T < N P | $X. P P ĳ ĬɷX 4$ X <\ ܭ| 0t . $(m P( ptD 䲑XՌ T¨ L|\ H Ĭɷ@ MTAR @ ȹ,\ t tȬXp pt tǄ1(conditional heteroscedasticity)D $(mD h\ \8 tĳ Hx 1D и. ̸ \ mX 51 ` ̸ , P( t tȬ\䲔 X H )D ȩX t tȬhD .~http://dspace.ewha.ac.kr/handle/2015.oak/172270;
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