View : 31 Download: 0

A sign test for unit roots in a momentum threshold autoregressive process

Title
A sign test for unit roots in a momentum threshold autoregressive process
Authors
Park S.J.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2006
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
Statistics and Probability Letters vol. 76, no. 10, pp. 986 - 990
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
We develop a sign test for unit roots in a momentum threshold autoregressive (MTAR) process. The proposed test is robust to heteroscedastic or heavy-tailed errors and is invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established. A Monte Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy-tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin [2001. An invariant sign test for random walks based on recursive median adjustment. J. Econometrics 102, 197-229]. © 2005 Elsevier B.V. All rights reserved.
DOI
10.1016/j.spl.2005.11.005
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