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Teor. Veroyatnost. i Primenen., 2018, Volume 63, Issue 3, Pages 431–446 (Mi tvp5139)  

Robust sign test for the unit root hypothesis of autoregression

M. V. Boldin

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: An ${AR}(1)$-model is considered with autoregression observations that contain gross errors (contaminations) with unknown arbitrary distribution. The unit root hypothesis for autoregression is tested. A special sign test is proposed as an alternative to the least-square test (the latter test is not applicable in this setting). The sign test is shown to be locally qualitatively robust in terms of the equicontinuity of the power.

Keywords: hypotheses testing, autoregression, unit root, sign tests, contaminations, qualitative robustness.

DOI: https://doi.org/10.4213/tvp5139

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English version:
Theory of Probability and its Applications, 2019, 63:3, 351–363

Bibliographic databases:

Received: 24.02.2017
Revised: 26.10.2017
Accepted:20.11.2017

Citation: M. V. Boldin, “Robust sign test for the unit root hypothesis of autoregression”, Teor. Veroyatnost. i Primenen., 63:3 (2018), 431–446; Theory Probab. Appl., 63:3 (2019), 351–363

Citation in format AMSBIB
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