Journal of the Korean Statistical Society

  • 제24권2호
  • /
  • Pages.481-493
  • /
  • 1995
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Testing for a Unit Root in an ARIMA(p,1,q) Signal Observed with Measurement Error

  • Lee, Jong-Hyup (Department of Statistics, Sungshin Women's University, Seoul 136-742) ;
  • Shin, Dong-Wan (Department of Statistics, Ewha Womans University, Seoul 120-750)
  • 발행 : 1995.12.01
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초록

An ARIMA signal observed with measurement error is shown to have another ARIMA representation with nonlinear restrictions on parameters. For this model, the restricted Newton-Raphson estimator(RNRE) of the unit root is shown to have the same limiting distribution as the ordinary least squares estimator of the unit root in an AR(1) model tabulated by Dickey and Fuller (1979). The RNRE of parameters of the ARIMA(p,1,k) process and unit root tests base on the RNRE are developed.

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참고문헌

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