A Detrended Range Unit Root (DRUR) Test

被引：0
|
作者：
Sanso, Andreu [1 ]
Simon, Clara [2 ]
Sipols, Ana E. [2 ]
机构：
[1] Univ Illes Balears, Dept Econ, Islas Baleares, Spain
[2] Univ Rey Juan Carlos, Dept Stat, Madrid, Spain
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2014年 / 43卷 / 06期
关键词：
Drift; Local time; Range unit root test; Rayleigh distribution; Serial correlation;
D O I：
10.1080/03610918.2012.732172
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We extend the Range Unit Root test in two directions. First, we consider the process with time trend and prove that the modified standardized number of new records converges to a sum of two Rayleigh distributions. Second, more general structures of autocorrelated disturbances are also taken into account. Monte Carlo experiments show the good sample properties of this nonparametric unit root test.
引用
收藏
页码：1253 / 1264
页数：12
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