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자연과학대학
통계학전공
Journal papers
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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
소병수
;
신동완
SCOPUS Author ID
소병수
; 신동완
Issue Date
1999
Journal Title
Statistics and Probability Letters
ISSN
0167-7152
Citation
Statistics and Probability Letters vol. 44, no. 4, pp. 387 - 397
Indexed
SCIE; SCOPUS
Document Type
Article
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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