Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Studies on Symmetric Type Multiple Unit Roots Test

  • Yil-Yong (Graduate Department of Statistics Hahkuk University of Foreign Studies) ;
  • I, Key-I (Associate Professor, Hahkuk University of Foreign Studies)
  • Published : 2000.04.01
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Abstract

Due to the close relation between cointegration test and multiple unit roots test multiple unit roots test are greatly studied by many researchers,. In this paper we suggest the symmetric type unit roots test which is an adjusted method of Shin (1999) Also we have a small Monte-Carlo simulation study to compare the power of the statistic developed in this paper with those of Shin (1999) and adjusted Fuller statistic(1996)

Keywords

References

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