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A Permutation Test for Unit Root in an Autoregressive Model

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DOI: 10.4236/am.2013.412221    2,840 Downloads   4,093 Views   Citations

ABSTRACT

A permutation test (based on a finite random sample of permutations) for unit root in an autoregressive process is considered. The test can easily be carried out in practice and the proposed permutation test is neither limited to large sample sizes nor 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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

Li, J. , Tran, L. and Niwitpong, S. (2013) A Permutation Test for Unit Root in an Autoregressive Model. Applied Mathematics, 4, 1629-1634. doi: 10.4236/am.2013.412221.

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