• Communications for Statistical Applications and Methods
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• v.9 no.3
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• pp.639-647
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• 2002

Efforts to obtain more power for unit root tests have continued. Pantula at el.(1994) compared empirical powers of several unit root test statistics and addressed that the weighted symmetric estimator(WSE) and the unconditional maximum likelihood estimator(UMLE) are the best among them. One can easily see that the powers of these two statistics are almost the same. In this paper we explain a connection between WSE and UMLE and suggest a unit root test statistic which may explain the connection between them.

• Communications for Statistical Applications and Methods
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• v.15 no.4
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• pp.531-542
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• 2008

The unit root test is the major tool for determining whether we use differencing or detrending to eliminate the trend from time series data. Dickey-Fuller test (Dickey and Fuller, 1979) has the low power of test when the sample size is small or the true coefficient of AR(1) process is almost unit root and the Bayesian unit root test has complicated testing procedure. We propose a new unit root testing procedure, which mixed Bayesian approach with the traditional testing procedure. Using simulation studies, our approach showed locally higher powers than Dickey-Fuller test when the sample size is small or the time series has almost unit root and simpler procedure than Bayesian unit root test procedure. Proposed testing procedure can be applied to the time series data that are not observed as process with unit root.

• Journal of Korea Society of Industrial Information Systems
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• v.23 no.3
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• pp.131-142
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• 2018

Since income growth rate and poverty level are related, there is a possibility that the poverty rate may converge in the long run steady state as well. If the poverty rate converges, then for this study the state that begins with the high poverty rate would have a higher poverty reduction rate. To examine the convergence of poverty rate among the US states, this study uses two times series methodologies. First, in order to prevent the power loss from ignoring the structural break when testing for a unit root in a single time series, this study employs the newly developed panel LM unit root tests with level and trend shifts. The results of unit root tests of the log of poverty rate without allowing for structural breaks show that twenty six states reject the null hypothesis of unit root test for the ADF test, twenty five states for the LM test, and thirty five states for the RALS-LM test. The result of unit root tests that allow one structural break shows that the null hypothesis of a unit root test is rejected for twenty two states with the LM test, and thirty three states with the RALS-LM test. This supports poverty rates are converging among US states.

• Communications for Statistical Applications and Methods
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• v.12 no.3
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• pp.797-805
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• 2005

Multivariate unit root tests for the VAR(p) model have been commonly used in time series analysis. Several unit root tests were developed and recently Shin(2004) suggested a cointegration test based on weighted symmetric estimator. In this paper, we suggest a multivariate unit root test statistic based on the weighted symmetric estimator. Using a small simulation study, we compare the powers of the new test statistic with the statistics suggested in Shin(2004) and Fuller(1996).

• Journal of the Korean Statistical Society
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• v.30 no.4
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• pp.597-612
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• 2001

We have developed a \

• Journal of the Korean Statistical Society
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• v.27 no.1
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• pp.57-66
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• 1998

In the analysis of time series it is an important issue to determine whether a time series under study is stationary. For the test of the stationary of the time series the Dickey-Fuller (DF) type tests have been mainly used. In this paper, we consider the regular unit root tests and seasonal unit root tests based on the generalized Durbin-Watson (DW) statistics when the errors are independent. The limiting distributions of the proposed DW-type test statistics are the functionals of standard Brownian motions. We also obtain the finite distributions and powers of the DW-type test statistics and compare the performances with the DF-type tests. It is observed that the DW-type test statistics have good behaviors against the DF-type test statistics especially in the nonzero (seasonal) mean model.

• Journal of the Korean Statistical Society
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• v.24 no.2
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• pp.481-493
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• 1995

An ARIMA signal observed with measurement error is shown to have another ARIMA representation with nonlinear restrictions on parameters. For this model, the restricted Newton-Raphson estimator(RNRE) of the unit root is shown to have the same limiting distribution as the ordinary least squares estimator of the unit root in an AR(1) model tabulated by Dickey and Fuller (1979). The RNRE of parameters of the ARIMA(p,1,k) process and unit root tests base on the RNRE are developed.

• Journal of the Korean Statistical Society
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• v.27 no.2
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• pp.165-187
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• 1998

Shin and Sarkar (1993, 1994) studied the problem of testing for a unit root in an AR(p) signal observed with MA(q) noise when the MA parameters are known. In this paper we consider the case when the MA parameters are unknown and to be estimated. Test statistics are defined using unit root parameter estimates based on three different estimation methods of Hannan and Rissanen (1982), Kohn (1979) and Shin and Sarkar (1995). An AR(p) process contaminated by MA(q) noise is a .estricted ARMA model, for which Shin and Sarkar (1995) derived an easy-to-compute Newton- Raphson estimator The two-stage estimation p.ocedu.e of Hannan and Rissanen (1982) is used to compute initial parameter estimates in implementing the iterative estimation methods of both Shin and Sarkar (1995) and Kohn (1979). In a simulation study we compare the relative performance of these unit root tests with respect to both size and power for p=q=1.

• Journal of the Korean Society of Environmental Restoration Technology
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• v.11 no.4
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• pp.119-128
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• 2008

In this study, we attempted to seek out the ways to recycle fresh root-chips in the slope revegetation works by breaking tree root wastes occurring during the construction works, also to review the applicability of fresh root-chips as the soil media in slope revegetation works. For this purpose, we organized test units in order to investigate on-site applicability of fresh root-chips (broken chips). In order to examine the desirable ration of combining fresh root-chips with the hydroseeding soil media on the cutting slopes, we organized test units depending on the amount of combination. The following is the main experimental results. 1. At first, we analyzed properties of hrdro-seeding soil media and soil of the experimental sites. The overall results demonstrate that all the test units show proper range for vegetation. 2. We believe that the physical properties of soils in the earlier phase of restoration works on the sloped sites are not greatly affected by the fact whether broken chips exist or not. However, as time elapses, broken chips needs to be investigated further on what kind of impact they have on the soil condition. 3. More species are found in the test unit combining broken chips and we believe that it will contribute to blossoming of green plants and ecological succession of neighboring plants. 4. We performed experiment on possibility for fresh root-chips as substitutes for the hydro-seeding soil-media. In the test unit that combines fresh root-chips, its mixture ratio tends to exceed that of the test unit that does not combine fresh root-chips by 5 %. In case of the Thick-Layer-Soil-Media Hydroseeding works, the mixture ratio of the test unit that combines fresh root-chips after 16 weeks exceeds that of the test unit that does not combine fresh root-chips by 75%. 5. From the result of our experiment, it is obvious that the ratio of mixture and the number of emerging species are higher for the test unit combining fresh root-chips than the test unit that does not combine them. In other words, we can replace the hydro-seeding-soil-media with some Fresh root-chips without affecting the physical property of soil.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.