Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Durbin-Watson Type Unit Root Test Statistics

  • Kim, Byung-Soo (Department of Applied Statistics, Inje University, Kimhae 621-749, Korea, E-mail : kbs＠stat.inje.ac.kr) ;
  • Cho, Sin-Sup (Department of Statistics, Seoul National University, Seoul 151-742, Korea, E-mail : sinsupch＠plaza.snu.ac.kr)
  • Published : 1998.03.01
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Abstract

In the analysis of time series it is an important issue to determine whether a time series under study is stationary. For the test of the stationary of the time series the Dickey-Fuller (DF) type tests have been mainly used. In this paper, we consider the regular unit root tests and seasonal unit root tests based on the generalized Durbin-Watson (DW) statistics when the errors are independent. The limiting distributions of the proposed DW-type test statistics are the functionals of standard Brownian motions. We also obtain the finite distributions and powers of the DW-type test statistics and compare the performances with the DF-type tests. It is observed that the DW-type test statistics have good behaviors against the DF-type test statistics especially in the nonzero (seasonal) mean model.

Keywords

References

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