Journal of the Korean Statistical Society

  • 제30권2호
  • /
  • Pages.281-290
  • /
  • 2001
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Double Unit Root Tests Based on Recursive Mean Adjustment and Symmetric Estimation

  • Shin, Dong-Wan (Department of Statistics, Ewha Womans University) ;
  • Lee, Jong-Hyup (Department of Statistics, Sungshin Women′s University)
  • 발행 : 2001.06.01
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초록

Symmetric estimation and recursive mean adjustment are considered to construct tests for the doble unit root hypothesis for both parametric and semiparametric time series models. It is shown that simultaneous application of symmetric estimation and recursive mean adjustment yields the most powerful test. Moreover, size property of the semiparametric test based on the simultaneous application is bet among all semiparametric tests.

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참고문헌

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  2. J. Bus. Econ. Statist. v.12 Semiparametric tests for double unit roots Haldrup, N.
  3. Ann. Statist. v.7 Estimation for autoregressive processes with unit roots Hasza, D.P.;Fuller, W.A.
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  8. Statist. & Probab. Lett. v.43 Recursive mean adjustment in time series inferences So, B.S.;Shin, D.W.