국소적 강력 단위근 검정
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 최보승 | - |
dc.contributor.author | 우진욱 | - |
dc.contributor.author | 박유성 | - |
dc.date.accessioned | 2021-09-09T15:20:02Z | - |
dc.date.available | 2021-09-09T15:20:02Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2008 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/125200 | - |
dc.description.abstract | The unit root test is the major tool for determining whether we use differenc- ing 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. | - |
dc.language | Korean | - |
dc.language.iso | ko | - |
dc.publisher | 한국통계학회 | - |
dc.title | 국소적 강력 단위근 검정 | - |
dc.title.alternative | Locally Powerful Unit-Root Test | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 최보승 | - |
dc.contributor.affiliatedAuthor | 박유성 | - |
dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.15, no.4, pp.531 - 542 | - |
dc.relation.isPartOf | Communications for Statistical Applications and Methods | - |
dc.citation.title | Communications for Statistical Applications and Methods | - |
dc.citation.volume | 15 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 531 | - |
dc.citation.endPage | 542 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001267861 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Unit root | - |
dc.subject.keywordAuthor | Bayesian unit root test | - |
dc.subject.keywordAuthor | Dickey-Fuller test | - |
dc.subject.keywordAuthor | locally powerful test. | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.