Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 소병수 | * |
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2016-08-28T11:08:18Z | - |
dc.date.available | 2016-08-28T11:08:18Z | - |
dc.date.issued | 1999 | * |
dc.identifier.issn | 0167-7152 | * |
dc.identifier.other | OAK-288 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/218554 | - |
dc.description.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. | * |
dc.language | English | * |
dc.title | New tests for unit roots in autoregressive processes with possibly infinite variance errors | * |
dc.type | Article | * |
dc.relation.issue | 4 | * |
dc.relation.volume | 44 | * |
dc.relation.index | SCIE | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 387 | * |
dc.relation.lastpage | 397 | * |
dc.relation.journaltitle | Statistics and Probability Letters | * |
dc.identifier.wosid | WOS:000082391600010 | * |
dc.identifier.scopusid | 2-s2.0-0033211652 | * |
dc.author.google | Shin D.W. | * |
dc.author.google | So B.S. | * |
dc.contributor.scopusid | 소병수(7005199584) | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |