A Permutation Test for Unit Root in an Autoregressive Model

DOI: 10.4236/am.2013.412221   PDF   HTML     3,067 Downloads   4,386 Views   Citations


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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.


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