Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A New Estimator for Seasonal Autoregressive Process

  • So, Beong-Soo (Department of Statistics, Ewha Womans University)
  • Published : 2001.03.01
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Abstract

For estimating parameters of possibly nonlinear and/or non-stationary seasonal autoregressive(AR) processes, we introduce a new instrumental variable method which use the direction vector of the regressors in the same period as an instrument. On the basis of the new estimator, we propose new seasonal random walk tests whose limiting null distributions are standard normal regardless of the period of seasonality and types of mean adjustments. Monte-Carlo simulation shows that he powers of he proposed tests are better than those of the tests based on ordinary least squares estimator(OLSE).

Keywords

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