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http://dx.doi.org/10.7465/jkdi.2015.26.4.791

A study on the slope sign test for explosive autoregressive models  

Ha, Jeongcheol (Department of Statistics, Keimyung University)
Jung, Jong Mun (Department of Statistics, Keimyung University)
Publication Information
Journal of the Korean Data and Information Science Society / v.26, no.4, 2015 , pp. 791-799 More about this Journal
Abstract
In random walk hypothesis, we assume that current change of financial time series is independent of past values. It is interpreted as an existency of a unit root in ARMA models and many researches have been focused on whether ${\rho}$ < 1 or not. If some financial data are generated from an explosive autoregressive model, the chance of a bubble economy increases. We have to find the symptoms of it in advance. Since some well-known parameter estimators contain the parameter itself and other statistic is constructed under a specific parameter structure assumption, those are difficut to be adopted. In this paper we investigate a test for explosive autoregressive models using slope signs. We found the properties of the slope sign test statistic under both independent error and correlated error conditions, mainly by simulations.
Keywords
Correlated error; explosive AR model; sign test; unit root test;
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Times Cited By KSCI : 3  (Citation Analysis)
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