Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Wald Test for a Unit Root Based on the Symmetric Estimator

  • Jong Hyup Lee (Department of Statistics, Sungshin Women's University, Seoul 136-742, Korea) ;
  • Dong Wan SHin (Department of Statistics, Ewha Womans Universty, Seoul 120-750, Korea)
  • Published : 1997.12.01
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Abstract

For an AR(1) model with intercept $y_t=\mu+\rho{y_{t-1}}+e_t$, a test for random walk hypothesis $H_0:(\mu, \rho)=(0, 1)$is proposed, which is based on the symmetric estimator. In the vicinity of the null, the test in shown to be more powerful than the test of Dickey and Fuller(1981) based on the ordinary least squares estimator.

Keywords

References

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