Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A SIGN TEST FOR UNIT ROOTS IN A SEASONAL MTAR MODEL

  • Published : 2007.03.31
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Abstract

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 has better power than the seasonal sign test developed for AR model.

Keywords

References

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