Online Program Home
My Program

Abstract Details

Activity Number: 41
Type: Contributed
Date/Time: Sunday, July 31, 2016 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract #321146
Title: A Self-Normalized Approach to a Unit Root Testing
Author(s): Yeonwoo Rho*
Companies: Michigan Technological University
Keywords: Unit root testing ; Self-normalization

In this talk, we present a unit root testing using a self-normalization approach. A new unit root test statistic is presented with a slight modification to the Phillips-Perron statistic and using the self-normalization. The advantage of using this new statistic is i) the limiting distribution is pivotal and thus can be tabulated, ii) the computation of the statistic is simple, and iii) it does not involve any user chosen parameters. The size accuracy is shown asymptotically and in finite samples through simulations.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2016 program

Copyright © American Statistical Association