A sign test for unit roots in a seasonal MTAR model

被引：0

作者：

Shin, Dong Wan ^{[1
]}

Park, Sei Jung ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2007年 / 36卷 / 01期

关键词：

invariant; MTAR; robust; seasonal unit roots; sign test; unit root;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This study suggests a new method for testing seasonal unit roots in a momentum threshold autoregressive (MTAR) process. This sign test is robust against heteroscedastic or heavy tailed errors and is invariant to monotone data transformation. The proposed test is a seasonal extension of the sign test of Park and Shin (2006). In the case of partial seasonal unit root in an MTAR model, a Monte-Carlo study shows that the proposed test ha's better power than the seasonal sign test developed for AR model.

引用

页码：149 / 156

页数：8

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