Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Unit Root Tests for Autoregressive Moving Average Processes Based on M-estimators

  • Shin, Dong-Wan (Department of Statistics, Ewha Womans University) ;
  • Lee, Oesook (Department of Statistics, Ewha Womans University)
  • Published : 2002.09.01
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Abstract

For autoregressive moving average (ARMA) models, robust unit root tests are developed using M-estimators. The tests are parametric in the sense ARMA parameters are estimated jointly with unit roots. A Monte-Carlo experiment reveals superiority of the parametric tests over the semipararmetric tests of Lucas (1995a) in terms of both empirical sizes and powers.

Keywords

References

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