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자연과학대학
통계학전공
Journal papers
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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
신동완
Issue Date
2006
Journal Title
Statistics and Probability Letters
ISSN
0167-7152
Citation
Statistics and Probability Letters vol. 76, no. 10, pp. 986 - 990
Indexed
SCIE; 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
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