Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 소병수 | - |
dc.contributor.author | 정소연 | - |
dc.creator | 정소연 | - |
dc.date.accessioned | 2016-08-25T04:08:28Z | - |
dc.date.available | 2016-08-25T04:08:28Z | - |
dc.date.issued | 2000 | - |
dc.identifier.other | OAK-000000052321 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/177688 | - |
dc.identifier.uri | http://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000052321 | - |
dc.description.abstract | For 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.tableofcontents | CHAP 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.format | application/pdf | - |
dc.format.extent | 758502 bytes | - |
dc.language | eng | - |
dc.publisher | 이화여자대학교 대학원 | - |
dc.title | A Monte-Carlo study on the unit root test based on huber-type estimator in seasonal autoregressive model | - |
dc.type | Master's Thesis | - |
dc.format.page | iii, 33 p. | - |
dc.identifier.thesisdegree | Master | - |
dc.identifier.major | 대학원 통계학과 | - |
dc.date.awarded | 2000. 8 | - |