View in EDS

On time series with randomized unit root and randomized seasonal unit root

Saved in:
Bibliographic Details
Title: On time series with randomized unit root and randomized seasonal unit root
Authors: Fong, Pak Wing1, Li, Wai Keung hrntlwk@hku.hk
Source: Computational Statistics & Data Analysis. Jul2003, Vol. 43 Issue 3, p369. 27p.
Subjects: Time measurements, Markov processes
Abstract: A time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of fixed unit roots against the alternative that the roots are random and fluctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in terms of Brownian processes are obtained. Simulations are used to tabulate finite sample critical values and to investigate empirical sizes and powers. A Markov chain Monte Carlo approach is proposed for the estimation of model parameters. Both randomized unit root and randomized seasonal unit root are demonstrated to be present in a US money supply data. [Copyright &y& Elsevier]
Copyright of Computational Statistics & Data Analysis is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
FullText Text:
  Availability: 0
Header DbId: egs
DbLabel: Engineering Source
An: 10060607
AccessLevel: 6
PubType: Periodical
PubTypeId: serialPeriodical
PreciseRelevancyScore: 0
IllustrationInfo
Items – Name: Title
  Label: Title
  Group: Ti
  Data: On time series with randomized unit root and randomized seasonal unit root
– Name: Author
  Label: Authors
  Group: Au
  Data: <searchLink fieldCode="AR" term="%22Fong%2C+Pak+Wing%22">Fong, Pak Wing</searchLink><relatesTo>1</relatesTo><br /><searchLink fieldCode="AR" term="%22Li%2C+Wai+Keung%22">Li, Wai Keung</searchLink><i> hrntlwk@hku.hk</i>
– Name: TitleSource
  Label: Source
  Group: Src
  Data: <searchLink fieldCode="JN" term="%22Computational+Statistics+%26+Data+Analysis%22">Computational Statistics & Data Analysis</searchLink>. Jul2003, Vol. 43 Issue 3, p369. 27p.
– Name: Subject
  Label: Subjects
  Group: Su
  Data: <searchLink fieldCode="DE" term="%22Time+measurements%22">Time measurements</searchLink><br /><searchLink fieldCode="DE" term="%22Markov+processes%22">Markov processes</searchLink>
– Name: Abstract
  Label: Abstract
  Group: Ab
  Data: A time series model with possibly a randomized unit root and a randomized seasonal unit root is considered. Two statistical tests are developed for the null hypothesis of fixed unit roots against the alternative that the roots are random and fluctuate about the value of one. The testing problem is addressed via the score test approach. The asymptotic representations of the test statistics in terms of Brownian processes are obtained. Simulations are used to tabulate finite sample critical values and to investigate empirical sizes and powers. A Markov chain Monte Carlo approach is proposed for the estimation of model parameters. Both randomized unit root and randomized seasonal unit root are demonstrated to be present in a US money supply data. [Copyright &y& Elsevier]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Computational Statistics & Data Analysis is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=egs&AN=10060607
RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.1016/S0167-9473(02)00298-0
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 27
        StartPage: 369
    Subjects:
      – SubjectFull: Time measurements
        Type: general
      – SubjectFull: Markov processes
        Type: general
    Titles:
      – TitleFull: On time series with randomized unit root and randomized seasonal unit root
        Type: main
  BibRelationships:
    HasContributorRelationships:
      – PersonEntity:
          Name:
            NameFull: Fong, Pak Wing
      – PersonEntity:
          Name:
            NameFull: Li, Wai Keung
    IsPartOfRelationships:
      – BibEntity:
          Dates:
            – D: 28
              M: 07
              Text: Jul2003
              Type: published
              Y: 2003
          Identifiers:
            – Type: issn-print
              Value: 01679473
          Numbering:
            – Type: volume
              Value: 43
            – Type: issue
              Value: 3
          Titles:
            – TitleFull: Computational Statistics & Data Analysis
              Type: main
ResultId 1