کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1153904 | 958360 | 2006 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A sign test for unit roots in a momentum threshold autoregressive process
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A sign test for unit roots in a momentum threshold autoregressive process A sign test for unit roots in a momentum threshold autoregressive process](/preview/png/1153904.png)
چکیده انگلیسی
We develop a sign test for unit roots in a momentum threshold autoregressive (MTAR) process. The proposed test is robust to heteroscedastic or heavy-tailed errors and is invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established. A Monte Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy-tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin [2001. An invariant sign test for random walks based on recursive median adjustment. J. Econometrics 102, 197–229].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 76, Issue 10, 15 May 2006, Pages 986–990
Journal: Statistics & Probability Letters - Volume 76, Issue 10, 15 May 2006, Pages 986–990
نویسندگان
Soo Jung Park, Dong Wan Shin,