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- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.5
- 수록면
- 1 - 14 (14page)
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The AR(1) model X<SUB>t</SUB>=ρX<SUB>t-1</SUB>+ϵ<SUB>t</SUB> with iid error ϵ<SUB>t</SUB> has been used extensively for the inference of the stochastic process X<SUB>t</SUB> where its key parameter ρ plays an essential role. In particular, the Dickey-Fuller test (DF test) has been extensively used for testing random walk model (or ρ=1) in the literatures. However, it is well known that the DF test is subject to serious size distortion when errors are correlated. This study proposes the use of an extended MA(∞) model X<SUB>t</SUB>=∑<SUP>∞</SUP><SUB>(i=0)</SUB> b<SUB>i</SUB> ϵ<SUB>t-i</SUB> for a more precise inference of X<SUB>t</SUB> by the DF test. We develop and investigate a new persistency parameter b<SUB>∞</SUB>=lim<SUB>j→∞</SUB> b<SUB>j</SUB> from the extended MA(∞) model. It is shown that the DF test serves well for testing the MA(∞) model with the new persistency parameter b<SUB>∞</SUB>. Our approach critically addresses the size distortion issues in the literatures.
목차
ABSTRACT
1. Introduction
2. Theoretical Results
3. Test Construction
4. Simulation and Empirical Application
References
참고문헌 (10)
참고문헌 신청
Hwang SY / 2005 / Explosive random coefficient AR(1)processes and related asymptotics for least square estimation / J Time Ser Aanl 26:807~824
Maddala GS / 1998 / Unit roots, cointegration and structural change / Cambridge University Press
Faust J. / 1996 / Near observational equivalence and theoretical size problems with unit root tests / Economet Theor 12:724~731
박철용 / 2018 / Time Series Model Identification in the Frame of Random Walk Model / Quantitative Bio-Science 37(1):1~17
Doukhan P / 2003 / Theory and Applications of Long-Range Dependence / Birkhauser
Maddala GS / 1998 / Unit roots, cointegration and structural change / Cambridge University Press
Faust J. / 1996 / Near observational equivalence and theoretical size problems with unit root tests / Economet Theor 12:724~731
박철용 / 2018 / Time Series Model Identification in the Frame of Random Walk Model / Quantitative Bio-Science 37(1):1~17
Doukhan P / 2003 / Theory and Applications of Long-Range Dependence / Birkhauser
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UCI(KEPA) : I410-ECN-0101-2020-047-000138333