TITLE:
A Permutation Test for Unit Root in an Autoregressive Model
AUTHORS:
Jiexiang Li, Lanh Tran, Sa-aat Niwitpong
KEYWORDS:
Permutation Test; Autoregressive; Nonstationary
JOURNAL NAME:
Applied Mathematics,
Vol.4 No.12,
December
3,
2013
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.