Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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On the Effect of Estimated Mean for the Weighted Symmetric Estimator

  • Key Il Shin (Dept. of Statistics, Hankuk University of Foreign Studies, Kyunggi-do, 449-791) ;
  • Hee Jeong Kang (Dept. of Statistics, Chonbuk National University, Chonbuk, 561-756)
  • Published : 1997.12.01
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Abstract

The ordinary least squares estimator and the corresponding pivotal statistics have been widely used for the unit test. Recently several test criteria based on maximum likelihood estimators and weighted symmetric estimator have been proposed for testing the unit root hypothesis in the autoregressive processes. Pantula at el. (1994) showed that the weighted symmetric estimator has good power properties. In this article we use an adjusted estimator for mean in the model when we use weighted symmetric estimator. A simulation study shows that for the small samples, this new test criterion has better power properties than the weighted symmetric estimator.

Keywords

References

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