Title page for etd-0207104-023146


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URN etd-0207104-023146
Author Chien-Min Chuang
Author's Email Address wakao_eco@ms69.url.com.tw
Statistics This thesis had been viewed 5537 times. Download 1725 times.
Department Economics
Year 2003
Semester 1
Degree Master
Type of Document
Language English
Title The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process
Date of Defense 2004-01-14
Page Count 48
Keyword
  • ADF Test
  • Fractional alternatives
  • Power
  • Asymptotic Distribution
  • Abstract In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003).
    Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance's variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion by the Monte Carlo experiments.
    Advisory Committee
  • Szu-Lang Liao - chair
  • Shul-John Li - co-chair
  • Chingnun Lee - advisor
  • Files
  • etd-0207104-023146.pdf
  • indicate access worldwide
    Date of Submission 2004-02-07

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