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Abstract Details

Activity Number: 353
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #304011
Title: A Permutation Test for Unit Root in an Autoregressive Model
Author(s): Lanh Tran and Jiexiang Li*+
Companies: Indiana University and College of Charleston
Address: Department of Mathematics, Charleston, SC, 29424, United States
Keywords: Permutation tests ; Autoregressive ; Nonstationary

A permutation test (based on a finite random sample of permutations) for unit root in an AR(1) autoregressive process is considered. The test can easily be carried out in practice and an R-program to perform it is provided. The proposed permutation test is not limited to large sample sizes or normal white noises. Simulations show that the power of the permutation test is reasonable when sample sizes are small or when the white noises have a heavy tailed distribution. The test is shown to be consistent.

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