Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Unit Root Test for Temporally Aggregated Autoregressive Process

  • Shin, Dong-Wan (Department of Applied Statistics, University of Suwon, Suwon, 4545-743) ;
  • Kim, Sung-Chul (Department of Statistics, Soong Sil University, Seoul, 156-743)
  • Published : 1993.12.01
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Abstract

Unit root test for temporally aggregated first order autoregressive process is considered. The temporal aggregate of fist order autoregression is an autoregressive moving average of order (1,1) with moving average parameter being function of the autoregressive parameter. One-step Gauss-Newton estimators are proposed and are shown to have the same limiting distribution as the ordinary least squares estimator for unit root when complete observations are available. A Monte-Carlo simulation shows that the temporal aggregation have no effect on the size. The power of the suggested test are nearly the same as the powers of the test based on complete observations.

Keywords

References

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