최소 단어 이상 선택하여야 합니다.
최대 10 단어까지만 선택 가능합니다.
다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.34 no.2, 2021년, pp.205 - 223
나옥경 (경기대학교 응용통계학과)
In this paper, we study a method to determine the existence of unit roots by using the adaptive lasso. The previously proposed method that applied the adaptive lasso to the original time series has low power when there is an unknown trend. Therefore, we propose a modified version that fits the ADF r...
Akaike, H. (1974). A new look at the statistical model identification, IEEE Transactions on Automatic Control, 19, 716-723.
Dickey, D. and Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
Elliott, G., Rothenberg, T., and Stock, J. (1996). Efficient tests for an autoregressive Unit Root, Econometrica, 64, 813-836.
Enders, W. (2010). Applied econometric time series, third edition, John Wiley & Sons.
Hannan, E. and Quinn, B. (1979). The determination of the order of an autoregression, Journal of the Royal Statistical Society, Series B, 41, 190--195.
Kwiatkowski, D., Phillips, P. C., Schmidt, P., and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-178.
Na, O. (2019). Model selection for unstable AR process via the adaptive LASSO, The Korean Journal of Applied Statistics, 32, 909-922.
Na, O. (2020). Discrimination between trend and difference stationary processes based on adaptive lasso, The Korean Journal of Applied Statistics, 33, 723-738.
Ng, S. and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-1554.
Nelson, C. R. and Plosser, C. I. (1982). Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-162.
Phillips, P. C. and Perron, P. (1988). Testing for a unit root in time series regression, Biometrika, 75, 335-346.
Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71, 599-607.
Schwarz, G. (1978). Estimating the dimension of a model, Annals of Statistics, 6, 461--464.
Schwert, G. W. (1989). Tests for unit roots: A Monte Carlo investigation, Journal of Business and Economic Statistics, 7, 147-160.
Vougas, D. (2007). GLS detrending and unit root testing, Economics Letters, 97, 222-229.
Zou, H. (2006). The adaptive lasso and its oracle properties, Journal of the American Statistical Association, 101, 1418-1429.
*원문 PDF 파일 및 링크정보가 존재하지 않을 경우 KISTI DDS 시스템에서 제공하는 원문복사서비스를 사용할 수 있습니다.
Free Access. 출판사/학술단체 등이 허락한 무료 공개 사이트를 통해 자유로운 이용이 가능한 논문
※ AI-Helper는 부적절한 답변을 할 수 있습니다.