A Permutation Test for Unit Root in an Autoregressive Model

Jiexiang Li, Lanh Tran, Sa-aat Niwitpong

Department of Applied Statistics, King Mongkut’s University of Technology, Bangkok, Thailand.
Department of Mathematics, College of Charleston, Charleston, USA.
Department of Statistics, Indiana University, Bloomington, USA.

DOI: 10.4236/am.2013.412221                

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.

Keywords

Permutation Test; Autoregressive; Nonstationary

Conflicts of Interest

The authors declare no conflicts of interest.

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