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Article: On time series with randomized unit root and randomized seasonal unit root

TitleOn time series with randomized unit root and randomized seasonal unit root
Authors
KeywordsBrownian motion
Markov chain Monte Carlo
Randomized seasonal unit root
Randomized unit root
Score-based test
Issue Date2003
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda
Citation
Computational Statistics And Data Analysis, 2003, v. 43 n. 3, p. 369-395 How to Cite?
AbstractA time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of fixed unit roots against the alternative that the roots are random and fluctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in terms of Brownian processes are obtained. Simulations are used to tabulate finite sample critical values and to investigate empirical sizes and powers. A Markov chain Monte Carlo approach is proposed for the estimation of model parameters. Both randomized unit root and randomized seasonal unit root are demonstrated to be present in a US money supply data. © 2002 Elsevier Science B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82758
ISSN
2015 Impact Factor: 1.179
2015 SCImago Journal Rankings: 1.283
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorFong, PWen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:33:04Z-
dc.date.available2010-09-06T08:33:04Z-
dc.date.issued2003en_HK
dc.identifier.citationComputational Statistics And Data Analysis, 2003, v. 43 n. 3, p. 369-395en_HK
dc.identifier.issn0167-9473en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82758-
dc.description.abstractA time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of fixed unit roots against the alternative that the roots are random and fluctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in terms of Brownian processes are obtained. Simulations are used to tabulate finite sample critical values and to investigate empirical sizes and powers. A Markov chain Monte Carlo approach is proposed for the estimation of model parameters. Both randomized unit root and randomized seasonal unit root are demonstrated to be present in a US money supply data. © 2002 Elsevier Science B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csdaen_HK
dc.relation.ispartofComputational Statistics and Data Analysisen_HK
dc.rightsComputational Statistics & Data Analysis. Copyright © Elsevier BV.en_HK
dc.subjectBrownian motionen_HK
dc.subjectMarkov chain Monte Carloen_HK
dc.subjectRandomized seasonal unit rooten_HK
dc.subjectRandomized unit rooten_HK
dc.subjectScore-based testen_HK
dc.titleOn time series with randomized unit root and randomized seasonal unit rooten_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-9473&volume=43&spage=369&epage=395&date=2003&atitle=On+time+series+with+randomized+unit+root+and+randomized+seasonal+unit+rooten_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0167-9473(02)00298-0en_HK
dc.identifier.scopuseid_2-s2.0-0037593432en_HK
dc.identifier.hkuros84986en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0037593432&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue3en_HK
dc.identifier.spage369en_HK
dc.identifier.epage395en_HK
dc.identifier.isiWOS:000183973200007-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridFong, PW=7103138432en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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