Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Asymptotics of the Variance Ratio Test for MA Unit Root Processes

  • Lee, Jin (Department of Economics, Ewha Womans University)
  • Received : 20100100
  • Accepted : 20100200
  • Published : 2010.03.31
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Abstract

We consider the asymptotic results of the variance ratio statistic when the underlying processes have moving average(MA) unit roots. This degenerate situation of zero spectral density near the origin cause the limit of the variance ratio to become zero. Its asymptotic behaviors are different from non-degenerating case, where the convergence rate of the variance ratio statistic is formally derived.

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References

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