Evaluating More Moments of a Unit-Root Test in Elementary Models

• Activity Number: 289 - Recent Advances in Mathematical Statistics and Probability
• Type: Contributed
• Date/Time: Wednesday, August 11, 2021 : 1:30 PM to 3:20 PM
• Sponsor: IMS
• Author(s): Ray-Shine Lee*
• Companies: Shine-In Quantitative Research E-Commerce Company
• Keywords: Random walk; Unit-root tests; Wiener process; Infinite series

Abstract

This research is concerned with a genuine necessity to depict the probability density curve of an original unit-root test. For gradual approximation, an effort is made to compute the first five integer moments of the test statistic and then match them to a flexible form of parametric distributions. The research indicates that considering the classical normal mixture model is adequate. For accuracy of the method of moments towards the approximation, the writing has included laborious computation on special integrals, infinite series and hypergeometric functions along the research process.