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New LM tests for unit roots in seasonal ar processes

Title
New LM tests for unit roots in seasonal ar processes
Authors
Oh, YujinSo, Beong-Soo
Ewha Authors
소병수
SCOPUS Author ID
소병수scopus
Issue Date
2007
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
1226-3192JCR Link
Citation
vol. 36, no. 4, pp. 447 - 456
Keywords
X-2-distributionmarginal likelihoodnuisance mean parametersseasonal unit root tests
Publisher
KOREAN STATISTICAL SOC
Indexed
SCIE; SCOPUS; KCI WOS
Abstract
On the basis of marginal likelihood of the residual vector which is free of nuisance mean parameters, we propose new Lagrange Multiplier seasonal unit root tests in seasonal autoregressive process. The limiting null distribution of the tests is the standardized X-2-distribution. A Monte-Carlo simulation shows the new tests are more powerful than the tests based on the ordinary least squares (OLS) estimator, especially for large number of seasons and short time spans.
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자연과학대학 > 통계학전공 > Journal papers
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