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Normal tests for unit roots based on instrumental variable estimators

Title
Normal tests for unit roots based on instrumental variable estimators
Authors
Shin D.W.So B.S.
Ewha Authors
소병수신동완
SCOPUS Author ID
소병수scopus; 신동완scopus
Issue Date
2004
Journal Title
Statistics
ISSN
0233-1888JCR Link
Citation
Statistics vol. 38, no. 2, pp. 123 - 132
Indexed
SCI; SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
For estimating unit roots of autoregressive processes, we introduce a new instrumental variable (IV) method which discounts large values of regressors corresponding to the unit roots. Based on the IV estimator, we propose new unit root tests whose limiting null distributions are standard normal. Observation at time t is adjusted for mean recursively by the sample mean of observations up to the time t. The powers of the proposed tests are better than those of the Dickey-Fuller tests and are comparable to those of the tests based on the weighted symmetric estimator, which are known to have the best power against stationary alternatives.
DOI
10.1080/02331880310001646635
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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