Title page for etd-0727118-095551


[Back to Results | New Search]

URN etd-0727118-095551
Author I-Po Chen
Author's Email Address No Public.
Statistics This thesis had been viewed 5559 times. Download 4 times.
Department Economics
Year 2018
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Power of McCabe and Tremayne Test (1995) for Difference Stationarity When the Errors are Correlated
Date of Defense 2018-08-22
Page Count 44
Keyword
  • weak convergence
  • the sequence of local alternatives
  • Wiener process
  • stochastic unit root (STUR) test
  • difference stationary
  • Abstract In this thesis, I relax McCabe and Smith (1998)’s assumptions to reconsider the power properties of McCabe and Tremayne (1995, MT) test for the difference stationarity of a times series. Without the independence assumption between the random coefficient and error process as that of McCabe and Smith (1998) , I derive the asymptotic distribution of MT test under local heteroscedastic integration alternative. I find that the MT test statistics is O(T1/4) and therefore it is diverge. In a finite sample, the power increase as the correlation or the variance of error process increase. Monte Carlo evidence supports our theoretical findings.
    Advisory Committee
  • Yuan-Ho Hsu - chair
  • Pei-Fen Chen - co-chair
  • Ching-Nun Lee - advisor
  • Files
  • etd-0727118-095551.pdf
  • Indicate in-campus at 2 year and off-campus access at 2 year.
    Date of Submission 2018-08-27

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys