Communications for Statistical Applications and Methods

  • 제4권3호
  • /
  • Pages.663-676
  • /
  • 1997
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Simultaneous Unit Roots Tests for Both Regular and Seasonal Unit Roots

  • Sinsup Cho (Department of Statistics, Seoul National University, Seoul, 151-742, Korea) ;
  • Jeong Hyeong Lee (The Research Institute for Basic Sciences, Seoul National Univresity, Seoul, 151-742, Korea) ;
  • Young Jin Park (Department of Statistics, North Carolina State University, Raleigh, U. S. A.) ;
  • Heon Jin Park (Department of Statistics, Inha University, Incheon, 402-751, Korea)
  • 발행 : 1997.12.01
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초록

We obtain the simultaneous unit roots test statistics for both regular and seasonal unit roots in a time series with possible seasonal deterministic trends. The limiting distributions of the proposed test statistics are derived and empirical percentiles of the test statistics are tabulated for some seasonal periods. The power and size of the test statistics are examined for finite samples through a Monte Carlo simulation and Compared with those of the Lagrange multiplier test.

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참고문헌

  1. Journal of the Korean Statistical Society v.22 no.1 A Note on Tests for Seasonal Unit Roots in the Presence of Deterministic Trends Ahn, S.K.;Cho, S.
  2. The Annals of Statistics v.16 Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes Chan, N.H.;Wei, C.Z.
  3. The Journal of American Statistical Association v.74 Distribution of the Estimators for Autoregressive Time Series with a Unit Root Dickey, D.A.;Fuller, W.A.
  4. Econometrica v.49 Likelihood Ratio Test Statistics for Autoregressive Time Series with a Unit Root Dickey, D.A.;Fuller, W.A.
  5. The Annals of Statistics v.7 Estimation for Autoregressive Processes with Unit Roots Hasza, D.P.;Fuller, W.A.
  6. The Annals of Statistics v.10 Testing for Nonstationary Parameter Specifications in Seasonal Time Series Models Hasza, D.P.;Fuller, W.A.
  7. Biometrika v.78 Some Lagrange Multiplier Tests for Seasonal Differencing Li, W.K.
  8. The Korean Communications in Statistics v.2 Lagrange Multiplier Test for both Regular and Seasonal Unit Roots Park, Y.J.;Cho S.