A Solution to Boundary and Sign Problems of Unit Root Test: On the Sign and Boundary Problems of Unit Root Tests and Modified Dickey-Fuller Test for Testing Unit Root - Softcover

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9783659306402: A Solution to Boundary and Sign Problems of Unit Root Test: On the Sign and Boundary Problems of Unit Root Tests and Modified Dickey-Fuller Test for Testing Unit Root
Softcover
ISBN 10: 3659306401 ISBN 13: 9783659306402
Verlag: LAP LAMBERT Academic Publishing, 2012

Inhaltsangabe

Usual test of testing unit root tests such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) tests ignore sign and boundary parameters. Ignorance of these problems may results in unusual estimate and test results. This paper demonstrates the ignorance of sign and boundary of parameters and consequences in estimation and hypothesis test by Monte Carlo simulation. This work proposes a distance-based optimum solution for testing unit root subject to the restriction of boundary and sign problem. Monte Carlo simulation study shows that the proposed one-sided test of testing unit root performs better than the usual tests interms of power property.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
3659306401
ISBN 13 
9783659306402
Einband
Taschenbuch
Anzahl der Seiten
188
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Edicoes Nosso Conhecimento
customerservice@vdm-vsg.de

SIA
Riga
1039
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