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A sign test for unit roots in a seasonal MTAR model

Title
A sign test for unit roots in a seasonal MTAR model
Authors
Shin, Dong WanPark, Sei Jung
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2007
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
1226-3192JCR Link
Citation
vol. 36, no. 1, pp. 149 - 156
Keywords
invariantMTARrobustseasonal unit rootssign testunit root
Publisher
KOREAN STATISTICAL SOC
Indexed
SCIE; SCOPUS; KCI WOS
Abstract
This study suggests a new method for testing seasonal unit roots in a momentum threshold autoregressive (MTAR) process. This sign test is robust against heteroscedastic or heavy tailed errors and is invariant to monotone data transformation. The proposed test is a seasonal extension of the sign test of Park and Shin (2006). In the case of partial seasonal unit root in an MTAR model, a Monte-Carlo study shows that the proposed test ha's better power than the seasonal sign test developed for AR model.
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자연과학대학 > 통계학전공 > Journal papers
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