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dc.contributor.advisor소병수-
dc.contributor.author정소연-
dc.creator정소연-
dc.date.accessioned2016-08-25T04:08:28Z-
dc.date.available2016-08-25T04:08:28Z-
dc.date.issued2000-
dc.identifier.otherOAK-000000052321-
dc.identifier.urihttps://dspace.ewha.ac.kr/handle/2015.oak/177688-
dc.identifier.urihttp://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000052321-
dc.description.abstractFor estimating unit root of Seasonal autoregressive(AR) processes, we propose a new instrumental variable(IV) estimator whose pivotal statistic has a standard normal limiting distribution for autoregressive parameter. The proposed estimator is based on IV estimator which discounts large value of regressors corresponding to the unit root. A simulation using observations adjusted by recursive mean shows that the proposed tests for unit roots are locally more powerful than the tests based on the ordinary least squares estimator(OLSE).;계절형 자기회귀 모형의 자료에서 UNIT ROOT를 추정하는 데 있어서, OLSE(Ordinary Least Square Estimator)를 이용하는 전통적인 방법에 반해, Huber-type instrumental variable(IV) estimator를 이용한 방법을 제안하였다. 본 논문에서 제시된 이 방법은 pivotal statistic의 극한분포가 정규분포를 따르며 unbiased함을 보여준다. 그리고, 제안된 추정량은 cauchy-type estimator의 변형된 형태로서, nonstationary한 모형에서 큰값을 적절히 조절하여 준다. recursive mean adjust를 하여 simulation한 결과, 제안된 Huver-type IV estimator가 OLSE의 경우보다, locally powerful 하다는 것을 알 수 있다.-
dc.description.tableofcontentsCHAP 1 INTRODUCTI0N 2 CHAP 2 HUBER-TYPE IV ESTIMATOR FOR SEASONAL AR(1) MODEL 4 CHAP 3 UNIT ROOT TESTS FOR SEASONAL MODELS 11 3.1 no mean case 11 3.2 common mean adjusted case 12 3.3 seasonal mean adjusted case 13 CHAP 4 MONTE-CARLO SIMULATI0N 14 CHAP 5 DISCUSSI0NS 24 APPENDIX-PROOFS 25 REFERENCES 26 PROGRAM OF SIMULATI0NS IN SEASONAL AR(1) MODEL 27 논문초록 32 감사의 글 33-
dc.formatapplication/pdf-
dc.format.extent758502 bytes-
dc.languageeng-
dc.publisher이화여자대학교 대학원-
dc.titleA Monte-Carlo study on the unit root test based on huber-type estimator in seasonal autoregressive model-
dc.typeMaster's Thesis-
dc.format.pageiii, 33 p.-
dc.identifier.thesisdegreeMaster-
dc.identifier.major대학원 통계학과-
dc.date.awarded2000. 8-
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