A sign test for unit roots in a momentum threshold autoregressive process

Soo Jung Park and Dong Wan Shin

Statistics & Probability Letters, 2006, vol. 76, issue 10, 986-990

Abstract: We develop a sign test for unit roots in a momentum threshold autoregressive (MTAR) process. The proposed test is robust to heteroscedastic or heavy-tailed errors and is invariant to monotone data transformation. Exact and limiting null distributions and consistency of the test are established. A Monte Carlo study shows that the proposed test has stable size under various heteroscedastic or heavy-tailed errors and has better power against alternatives of a partial unit root or different autoregressive coefficients than the sign test of So and Shin [2001. An invariant sign test for random walks based on recursive median adjustment. J. Econometrics 102, 197-229].

Keywords: Recursive; median; adjustment; Heteroscedasticity; Monotone; data; transformation; Robustness (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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