View : 335 Download: 0

Full metadata record

DC Field Value Language
dc.contributor.author김소영-
dc.creator김소영-
dc.date.accessioned2016-08-25T04:08:49Z-
dc.date.available2016-08-25T04:08:49Z-
dc.date.issued2008-
dc.identifier.otherOAK-000000049926-
dc.identifier.urihttps://dspace.ewha.ac.kr/handle/2015.oak/177293-
dc.identifier.urihttp://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000049926-
dc.description.abstractThis paper expands the locally best invariant (LBI) test of Hadri(2000) for panel unit roots to seasonal models. Moreover, for panel model with both random seasonal effects for each individual and time effects, the LBI test is conducted for the null hypothesis of stationarity against the alternative hypothesis of having seasonal unit roots. The asymptotic distributions of tests are derived and finite sample sizes and power are investigated in a Monte-Carlo experiment.;본 논문은 Hadri(2000)의 the locally best invariant (LBI) test 를 확장 시킨 계절성을 가진 Panel 모델에서의 단위근 검정을 제안한다. 또한, 계절성을 가진 개체효과와 시간효과를 가진 Panel 모델에서의 계절 단위근 검정을 위한 LBI test를 제안한다. LBI test는 정상성(stationarity)이 존재한다는 것을 귀무가설로, 계절 단위근을 가지고 있다는 대립가설로 설정한다. 제안된 검정의 점근 귀무 분포(The limiting null distribution)를 유도하고, Monte-Calro실험을 통해 임계값(Critical values) 와 검정력(Power)을 구한다.-
dc.description.tableofcontents1. Introduction = 1 2. Seasonal Panel Model and LBI test = 2 2.1 Seasonal Panel Models = 2 2.2 LBI test for model with individual effects = 4 2.3 Model with individual effects and time effects = 9 3. A Monte-Calro Simulation and tables = 12 4. Conclusion = 14 REFERENCES = 15 Appendix = 16 국문초록 = 21-
dc.formatapplication/pdf-
dc.format.extent535073 bytes-
dc.languageeng-
dc.publisher이화여자대학교 대학원-
dc.titleUnit Root Test of Seasonal Panel Models-
dc.typeMaster's Thesis-
dc.format.pageviii, 21 p.-
dc.identifier.thesisdegreeMaster-
dc.identifier.major대학원 통계학과-
dc.date.awarded2008. 8-
Appears in Collections:
일반대학원 > 통계학과 > Theses_Master
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

BROWSE