Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2018-05-30T08:14:00Z | - |
dc.date.available | 2018-05-30T08:14:00Z | - |
dc.date.issued | 2006 | * |
dc.identifier.issn | 0167-7152 | * |
dc.identifier.other | OAK-3299 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/243473 | - |
dc.description.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. | * |
dc.language | English | * |
dc.title | A sign test for unit roots in a momentum threshold autoregressive process | * |
dc.type | Article | * |
dc.relation.issue | 10 | * |
dc.relation.volume | 76 | * |
dc.relation.index | SCIE | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 986 | * |
dc.relation.lastpage | 990 | * |
dc.relation.journaltitle | Statistics and Probability Letters | * |
dc.identifier.doi | 10.1016/j.spl.2005.11.005 | * |
dc.identifier.wosid | WOS:000237155900004 | * |
dc.identifier.scopusid | 2-s2.0-33645545151 | * |
dc.author.google | Park S.J. | * |
dc.author.google | Shin D.W. | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |