Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
권호 표지
DOI QR코드

DOI QR Code

An Alternative Unit Root Test Statistic Based on Least Squares Estimator

  • Shin, Key-Il (Department of Statistics, Hankuk University of Foreign Studies)
  • Published : 2002.12.01
Download PDF
⟨ Previous Next ⟩

Abstract

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.

Keywords

References

  1. Journal of the American Statistical Society v.74 Distribution of the estimators for autoregressive time series with a unit root Dickey, D. .;Fuller, W. A.
  2. Journal of the American Statistical Society v.79 Testing for unit roots in seasonal time series Dickey, D. A.;Hasza, D. P.;Fuller, W. A. https://doi.org/10.1080/01621459.1984.10478057
  3. Econometrica v.8 Unite Roots in economic time series: A selective survey Diebold, F. X.;Nerlover, M.
  4. Introduction to statistical time series Fuller, W.
  5. Boletin de la Sociedad Matematic Mexicana v.5 Unit Root Tests: An Unconditional Maximum Likelihood Approach Gonzalez-Farias;Graciela;Dickey, D. A.
  6. Time Series Analysis Hamilton, J. D.
  7. Journal of Business and Economic Statistics v.13 A comparison of Unit Rot criteria Pantula, S. G.;Gonzales-Farias, G.;Fuller, W. A.
  8. The Korean Communications in Statistics v.4 no.3 On the effect of estimated mean for the weighted symmetric estimator Shin, K.;Kang, H.