Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 소병수 | * |
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2016-08-28T11:08:42Z | - |
dc.date.available | 2016-08-28T11:08:42Z | - |
dc.date.issued | 2001 | * |
dc.identifier.issn | 0304-4076 | * |
dc.identifier.other | OAK-722 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/218808 | - |
dc.description.abstract | We propose a new invariant sign test for random walks against general stationary processes and develop a theory for the test. In addition to the exact binomial null distribution of the test, we establish various important properties of the test: the consistency against a wide class of possibly nonlinear stationary autoregressive conditionally heteroscedastic processes and/or heavy-tailed errors; a local asymptotic power advantage over the classical Dickey-Fuller test; and invariance to monotone data transformations, to conditional heteroscedasticity and to heavy-tailed errors. Using the sign test, we also investigate various interrelated issues such as M-estimator, exact confidence interval, sign test for serial correlation, robust inference for a cointegration model, and discuss possible extensions to models with autocorrelated errors. Monte-Carlo experiments verify that the sign test has not only very stable sizes but also locally better powers than the parametric Dickey-Fuller test and the nonparametric tests of Granger and Hallman (1991. Journal of Time Series Analysis 12, 207-224) and Burridge and Guerre (1996. Econometric Theory 12, 705-719) for heteroscedastic and/or heavy tailed errors. © 2001 Elsevier Science S.A. All rights reserved. | * |
dc.language | English | * |
dc.title | An invariant sign test for random walks based on recursive median adjustment | * |
dc.type | Article | * |
dc.relation.issue | 2 | * |
dc.relation.volume | 102 | * |
dc.relation.index | SCIE | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 197 | * |
dc.relation.lastpage | 229 | * |
dc.relation.journaltitle | Journal of Econometrics | * |
dc.identifier.doi | 10.1016/S0304-4076(01)00053-7 | * |
dc.identifier.wosid | WOS:000169039400003 | * |
dc.identifier.scopusid | 2-s2.0-0346312270 | * |
dc.author.google | So B.S. | * |
dc.author.google | Shin D.W. | * |
dc.contributor.scopusid | 소병수(7005199584) | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |