Robust unit root tests for autoregressive models : Notas de Matemática, 58

In this paper a robust test is developed for detecting a unit root for autoregressive models. The basic idea consists of replacing the least squares estimators in the Dickey-Fuller statistics by robust estimators with a high breakdown point and high efficiency called τ-estimators. The limiting distr...

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Detalles Bibliográficos
Autor principal: Ferretti, Nélida Elena
Formato: Publicacion seriada
Lenguaje:Español
Publicado: 1996
Materias:
Matemática
Autoregressive processes
Empirical power
Robust estimation
Unit root test
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/170676
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata

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