View : 22 Download: 0

Tests for the order of integration against higher order integration

Title
Tests for the order of integration against higher order integration
Authors
Shin D.W.Oh M.-S.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2003
Journal Title
Statistical Papers
ISSN
0932-5026JCR Link
Citation
vol. 44, no. 3, pp. 383 - 396
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Locally best invariant tests for the null hypothesis of I(p) against the alternative hypothesis of I(c), p < q, are developed for models with independent normal errors. The tests are semiparametrically extended for models with autocorrelated errors. The method is illustrated by two real data sets in terms of double unit roots. The proposed tests can be used for determining integration orders of nonstationary time series.
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE