A sign test for unit roots in a momentum threshold autoregressive process

Soo Jung Park, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

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Abstract

We develop a sign test for unit roots in a momentum threshold autoregressive (MTAR) process. The proposed test is robust to heteroscedastic or heavy-tailed errors and is invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established. A Monte Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy-tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin [2001. An invariant sign test for random walks based on recursive median adjustment. J. Econometrics 102, 197-229].

Original languageEnglish
Pages (from-to)986-990
Number of pages5
JournalStatistics and Probability Letters
Volume76
Issue number10
DOIs
StatePublished - 15 May 2006

Bibliographical note

Funding Information:
The authors are very grateful for valuable comments of a referee. This work was supported by a Grant RO6-2002-012-01002-0 from Basic Research Program of the Korea Science and Engineering Foundation.

Keywords

  • Heteroscedasticity
  • Monotone data transformation
  • Recursive median adjustment
  • Robustness

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