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A SIGN TEST FOR UNIT ROOTS IN A SEASONAL MTAR MODEL  

Shin, Dong-Wan (Department of Statistics, Ewha Womans University)
Park, Sei-Jung (Department of Statistics, Ewha Womans University)
Publication Information
Journal of the Korean Statistical Society / v.36, no.1, 2007 , pp. 149-156 More about this Journal
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
Invariant; MTAR; robust; seasonal unit roots; sign test; unit root;
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