국소적 강력 단위근 검정Locally Powerful Unit-Root Test
- Other Titles
- Locally Powerful Unit-Root Test
- Authors
- 최보승; 우진욱; 박유성
- Issue Date
- 2008
- Publisher
- 한국통계학회
- Keywords
- Unit root; Bayesian unit root test; Dickey-Fuller test; locally powerful test.
- Citation
- Communications for Statistical Applications and Methods, v.15, no.4, pp.531 - 542
- Indexed
- KCI
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 15
- Number
- 4
- Start Page
- 531
- End Page
- 542
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/125200
- ISSN
- 2287-7843
- 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.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Political Science & Economics > Department of Statistics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.