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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 JKSS(Journal of the Korean Statistical Society) Journal of the Korean Statistical Society 제30권 제2호
- 발행연도
- 2001.1
- 수록면
- 281 - 290 (10page)
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초록· 키워드
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Symmetric estimation and recursive mean adjustment are considered to construct tests for the doble unit root hypothesis for both parametric and semiparametric time series models. It is shown that simultaneous application of symmetric estimation and recursive mean adjustment yields the most powerful test. Moreover, size property of the semiparametric test based on the simultaneous application is bet among all semiparametric tests.
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