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

Soo Jung Park; Dong Wan Shin

doi:10.1016/j.spl.2005.11.005

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

Soo Jung Park, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 language	English
Pages (from-to)	986-990
Number of pages	5
Journal	Statistics and Probability Letters
Volume	76
Issue number	10
DOIs	https://doi.org/10.1016/j.spl.2005.11.005
State	Published - 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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10.1016/j.spl.2005.11.005

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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].",

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AU - Shin, Dong Wan

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AB - 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].

KW - Heteroscedasticity

KW - Monotone data transformation

KW - Recursive median adjustment

KW - Robustness

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EP - 990

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

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ER -

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

Abstract

Bibliographical note

Keywords

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