Unit root problems in time series analysis

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2004

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Purutcuoğlu, Vilda

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In time series models, autoregressive processes are one of the most popular stochastic processes, which are stationary under certain conditions. In this study we consider nonstationary autoregressive models of order one, which have iid random errors. One of the important nonstationary time series models is the unit root process in AR (1), which simply implies that a shock to the system has permanent effect through time. Therefore, testing unit root is a very important problem. However, under nonstationarity, any estimator of the autoregressive coefficient does not have a known exact distribution and the usual t 6 statistic is not accurate even if the sample size is very large. Hence,Wiener process is invoked to obtain the asymptotic distribution of the LSE under normality. The first four moments of under normality have been worked out for large n. In 1998, Tiku and Wong proposed the new test statistics and whose type I error and power values are calculated by using three 6 moment chi 6 square or four 6 moment F approximations. The test statistics are based on the modified maximum likelihood estimators and the least square estimators, respectively. They evaluated the type I errors and the power of these tests for a family of symmetric distributions (scaled Student2s t). In this thesis, we have extended this work to skewed distributions, namely, gamma and generalized logistic.

Subject Keywords

Autoregression (Statistics)

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http://etd.lib.metu.edu.tr/upload/2/12604701/index.pdf
https://hdl.handle.net/11511/13992

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Graduate School of Natural and Applied Sciences, Thesis

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Citation Formats

V. Purutcuoğlu, “Unit root problems in time series analysis,” M.S. - Master of Science, Middle East Technical University, 2004.