The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Testion a Multivariate Process for Multiple Unit Roots

다변량 시계열 자료의 다중단위근 검정법

  • Key Il Shin (Department of Statistics, Hankuk University of Foreign Studies, Yongin-Gun, Gyounggi-Do, 449-791, Korea)
  • Published : 1994.02.01
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Abstract

An asymptotic property of the estimated eigenvalues for multivariate AR(p) process which consists of vector of nonstationary process and vector of stationary process is developed. All components of the nonstationary process are assumed to reveal random walk behavior. The asymptotic property is helpful in understanding multiple unit roots. In this paper we show the stationay part in multivariate AR(p) process does not affect the limiting distribution of estimated eigenvalues associated with the nonstationary process. A test statistic based on the ordinary least squares estimator for testing a certain number of multiple unit roots is suggested.

본 논문에서는 비정상(단위근) 시계열이 포함된 다변량 시계열 자료에서 단위근에 해당되는 계수행렬 추정량의 극한 분포가 정상시계열의 유무에 상관없이 일정하다는 것을 밝혔다. 또한 단위근만 존재하는 다변량 시계열에서 다중단위근을 검정하는 검정통계량을 제안하였다.

Keywords

References

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