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Seminar on Probability and Statistics
Seminar information archive ～04/18｜Next seminar｜Future seminars 04/19～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2007/01/31
16:20-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
西山 慶彦 (京都大学経済研究所)
A Sequential Unit Root Test
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/18.html
西山 慶彦 (京都大学経済研究所)
A Sequential Unit Root Test
[ Abstract ]
It is well known that conventional unit root tests such as Dickey=Fuller and its variants do not have good power properties when sample size is not large. Lai and Siegmund (1983, AS) proved that OLS estimator of the AR(1) coefficient is asymptotically normally distributed in a sequential framework even if the time series has a unit root unlike the OLS estimator under a standard sampling scheme. We pursue this direction to propose a unit root test under a sequential sampling. The proposed test uses not only the OLS estimator of the AR(1) coefficient, which is asymptotically normal, but also the stopping time to construct the critical region, anticipating a better power property. We obtain analytic expressions of the joint distribution of the two statistics as well as its marginals under the null. We also consider the distribution of the statistics under local alternatives. The properties of the stopping time, to the best of our knowledge, have not been studied in the unit root literature. We calculate its expectation and variance.
[ Reference URL ]It is well known that conventional unit root tests such as Dickey=Fuller and its variants do not have good power properties when sample size is not large. Lai and Siegmund (1983, AS) proved that OLS estimator of the AR(1) coefficient is asymptotically normally distributed in a sequential framework even if the time series has a unit root unlike the OLS estimator under a standard sampling scheme. We pursue this direction to propose a unit root test under a sequential sampling. The proposed test uses not only the OLS estimator of the AR(1) coefficient, which is asymptotically normal, but also the stopping time to construct the critical region, anticipating a better power property. We obtain analytic expressions of the joint distribution of the two statistics as well as its marginals under the null. We also consider the distribution of the statistics under local alternatives. The properties of the stopping time, to the best of our knowledge, have not been studied in the unit root literature. We calculate its expectation and variance.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/18.html
