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

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  • Park, Soo Jung
  • Shin, Dong Wan

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].

Suggested Citation

  • Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 986-990, May.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:10:p:986-990
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    References listed on IDEAS

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    1. So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 65-73, May.
    2. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
    3. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    4. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    5. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    6. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-244, April.
    7. Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
    8. Campbell, Bryan & Dufour, Jean-Marie, 1995. "Exact Nonparametric Orthogonality and Random Walk Tests," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 1-16, February.
    9. Burridge, Peter & Guerre, Emmanuel, 1996. "The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test," Econometric Theory, Cambridge University Press, vol. 12(4), pages 705-723, October.
    10. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
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    Cited by:

    1. Brown, Donald & Ibragimov, Rustam, 2019. "Sign tests for dependent observations," Econometrics and Statistics, Elsevier, vol. 10(C), pages 1-8.

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