Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
권호 표지

ROBUST UNIT ROOT TESTS FOR SEASONAL AUTOREGRESSIVE PROCESS

  • Oh, Yu-Jin (Department of Statistics, Ewha Womans University) ;
  • So, Beong-Soo (Department of Statistics, Ewha Womans University)
  • Published : 2004.06.01
Download PDF
⟨ Previous Next ⟩

Abstract

The stationarity is one of the most important properties of a time series. We propose robust sign tests for seasonal autoregressive processes to determine whether or not a time series is stationary. The proposed tests are robust to the outliers and the heteroscedastic errors, and they have an exact binomial null distribution regardless of the period of seasonality and types of median adjustments. A Monte-Carlo simulation shows that the sign test is locally more powerful than the tests based on ordinary least squares estimator (OLSE) for heavy-tailed and/or heteroscedastic error distributions.

Keywords

References

  1. The Review of Econmics and Staistics v.77 Exact nonparametric orthogonality and random walk tests CAMPBELL,B.;DUFOUR,J.M. https://doi.org/10.2307/2109988
  2. Journal of the American Statistician Association v.79 Testing for unit roots in seasonal time series DICKEY,D.A.;HASZA,D.P.;FULLER,W.A. https://doi.org/10.2307/2288276
  3. Journal of Econometrics v.44 Seasonal integration and cointegration HYLLEBERG,S.;ENGLE,R.F.;GRANGER,C.W.;YOO,B.S. https://doi.org/10.1016/0304-4076(90)90080-D
  4. Journal of Time Series Analysis v.22 Recursive mean adjustment for unit root tests SHIN,D.W.;SO,B.S. https://doi.org/10.1111/1467-9892.00243
  5. Journal of the Korean Statistical Society v.30 A new estimator for seasonal autoregressive process So,B.S.
  6. Econometric Theory v.15 Cauchy estimators for autoregressive proesses with applications to unit root tests and confidence intervals So,B.S.;SHIN,D.W.
  7. Statistics & Probability Letters v.43 Recursive mean adjustment in time-series inferences So,B.S.;SHIN,D.W. https://doi.org/10.1016/S0167-7152(98)00247-8
  8. Journal of Econometrics v.102 An invariant sign test for random walks based on recursive median adjustment So,B.S.;SHIN,D.W. https://doi.org/10.1016/S0304-4076(01)00053-7