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New tests for unit roots in autoregressive processes with possibly infinite variance errors

Title
New tests for unit roots in autoregressive processes with possibly infinite variance errors
Authors
Shin D.W.So B.S.
Ewha Authors
소병수신동완
SCOPUS Author ID
소병수scopus; 신동완scopus
Issue Date
1999
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 44, no. 4, pp. 387 - 397
Indexed
SCIE; SCOPUS WOS scopus
Abstract
For autoregressive processes with possibly infinite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for finite variance innovations and for infinite variance innovations. The test statistics are the pivotal statistics of modified M-estimators in which the signs of regressors rather than the regressors themselves are used as instrumental variables in estimating unit roots. A Monte-Carlo experiment compares the proposed tests favorably with tests based on the OLSE and tests based on the M-estimators for several innovations. © 1999 Elsevier Science B.V. All rights reserved.
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자연과학대학 > 통계학전공 > Journal papers
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