A sign test for unit roots in a momentum threshold autoregressive process

2006 ◽  
Vol 76 (10) ◽  
pp. 986-990 ◽  
Author(s):  
Soo Jung Park ◽  
Dong Wan Shin
Keyword(s):  
Unit Roots ◽  
Autoregressive Process ◽  
Sign Test ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Process

scholarly journals Bayesian Analysis of Multiplicative Seasonal Threshold Autoregressive Processes

2020 ◽  
Vol 43 (2) ◽  
pp. 251-284
Author(s):  
Joaquín González Borja ◽  
Fabio Humberto Nieto Sánchez
Keyword(s):  
Time Series ◽  
Autoregressive Process ◽  
Autoregressive Processes ◽  
Model Estimate ◽  
Threshold Autoregressive ◽  
Proposed Model ◽  
Threshold Autoregressive Process ◽  
Identification Stage ◽  
The Relationship ◽  
Special Case

Seasonal fluctuations are  often  found  in many  time  series.   In addition, non-linearity  and  the  relationship  with  other   time series   are  prominent behaviors  of  several,  of  such   series. In this   paper,    we  consider   the modeling  of multiplicative seasonal threshold autoregressive processes with exogenous input (TSARX), which explicitly and simultaneously incorporate multiplicative seasonality and threshold nonlinearity. Seasonality is modeled to  be  stochastic and  regime  dependent.  The  proposed model  is  a  special case  of a  threshold autoregressive process with  exogenous input  (TARX). We  develop   a   procedure  based  on  Bayesian  methods   to   identify  the model,   estimate parameters,  validate  the  model  and  calculate  forecasts. In  the identification stage   of  the  model,   we  present a  statistical test   of regime  dependent multiplicative seasonality.  The proposed methodology is illustrated with a simulated example and applied  to economic empirical data. 

On the First-Order Autoregressive Process with Infinite Variance

1989 ◽  
Vol 5 (3) ◽  
pp. 354-362 ◽  
Author(s):  
Ngai Hang Chan ◽  
Lanh Tat Tran
Keyword(s):  
Strong Consistency ◽  
Domain Of Attraction ◽  
Unit Roots ◽  
Autoregressive Process ◽  
Ordinary Least Squares ◽  
Seasonal Difference ◽  
Infinite Variance ◽  
Stable Law ◽  
First Order ◽  
Heavy Tailed

For a first-order autoregressive process Yt = βYt−1 + ∈t where the ∈t'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator bn of β is obtained for β = 1, and the limiting distribution of bn is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the ∈t'S are heavy-tailed.

Testing for Unit Roots in a Nearly Nonstationary Spatial Autoregressive Process

2000 ◽  
Vol 52 (1) ◽  
pp. 71-83 ◽  
Author(s):  
B. B. Bhattacharyya ◽  
X. Li ◽  
M. Pensky ◽  
G. D. Richardson
Keyword(s):  
Unit Roots ◽  
Autoregressive Process ◽  
Spatial Autoregressive

scholarly journals Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

2020 ◽  
Vol 9 (4) ◽  
pp. 342-349
Author(s):  
Pedro Clavijo ◽  
Jacobo Campo ◽  
Henry Mendoza
Keyword(s):  
Unit Root ◽  
Autoregressive Model ◽  
Commodity Prices ◽  
Unit Roots ◽  
Terms Of Trade ◽  
Threshold Effects ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model ◽  
Primary Goods ◽  
Unit Root Process

This paper investigates whether a unit root process and nonlinearities can characterize real commodity prices for six major primary goods. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods are nonlinear processes that are characterized by a unit root process. The finding of nonlinearities explains why the deterioration of the terms of trade has been episodic. Additionally, we found there is no statistical evidence supporting the Prebisch-Singer hypothesis for agricultural, mineral, non-tropical, and non-oil goods.

On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two

1997 ◽  
Vol 29 (01) ◽  
pp. 205-227 ◽  
Author(s):  
P. J. Brockwell ◽  
R. J. Williams
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Continuous Time ◽  
Linear Time ◽  
Autoregressive Process ◽  
Initial State ◽  
Share Prices ◽  
Threshold Autoregressive ◽  
Random Time Change ◽  
Time Threshold

A continuous-time threshold autoregressive process of order two (CTAR(2)) is constructed as the first component of the unique (in law) weak solution of a stochastic differential equation. The Cameron–Martin–Girsanov formula and a random time-change are used to overcome the difficulties associated with possible discontinuities and degeneracies in the coefficients of the stochastic differential equation. A sequence of approximating processes that are well-suited to numerical calculations is shown to converge in distribution to a solution of this equation, provided the initial state vector has finite second moments. The approximating sequence is used to fit a CTAR(2) model to percentage relative daily changes in the Australian All Ordinaries Index of share prices by maximization of the ‘Gaussian likelihood'. The advantages of non-linear relative to linear time series models are briefly discussed and illustrated by means of the forecasting performance of the model fitted to the All Ordinaries Index.

A robust sign test for panel unit roots under cross sectional dependence

2009 ◽  
Vol 53 (4) ◽  
pp. 1312-1327 ◽  
Author(s):  
Dong Wan Shin ◽  
Soo Jung Park ◽  
Man-Suk Oh
Keyword(s):  
Unit Roots ◽  
Sign Test ◽  
Cross Sectional ◽  
Panel Unit Roots ◽  
Cross Sectional Dependence

On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two

1997 ◽  
Vol 29 (1) ◽  
pp. 205-227 ◽  
Author(s):  
P. J. Brockwell ◽  
R. J. Williams
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Continuous Time ◽  
Linear Time ◽  
Autoregressive Process ◽  
Initial State ◽  
Share Prices ◽  
Threshold Autoregressive ◽  
Random Time Change ◽  
Time Threshold

A continuous-time threshold autoregressive process of order two (CTAR(2)) is constructed as the first component of the unique (in law) weak solution of a stochastic differential equation. The Cameron–Martin–Girsanov formula and a random time-change are used to overcome the difficulties associated with possible discontinuities and degeneracies in the coefficients of the stochastic differential equation. A sequence of approximating processes that are well-suited to numerical calculations is shown to converge in distribution to a solution of this equation, provided the initial state vector has finite second moments. The approximating sequence is used to fit a CTAR(2) model to percentage relative daily changes in the Australian All Ordinaries Index of share prices by maximization of the ‘Gaussian likelihood'. The advantages of non-linear relative to linear time series models are briefly discussed and illustrated by means of the forecasting performance of the model fitted to the All Ordinaries Index.

On the generation and origin of I/f noise

1999 ◽  
Vol 4 ◽  
pp. 87-96 ◽  
Author(s):  
B. Kaulakys ◽  
T. Meškauskas
Keyword(s):  
Point Process ◽  
Solvable Model ◽  
Autoregressive Process ◽  
Wide Range ◽  
Occurrence Times

Simple analytically solvable model exhibiting 1/f spectrum in any desirably wide range of frequency is analysed. The model consists of pulses (point process) whose interevent times obey an autoregressive process with small damping. Analysis and generalizations of the model indicate to the possible origin of 1/f noise, i.e. random increments between the occurrence times of particles or pulses resulting in the clustering of the pulses.

Pengaruh Self Help Group Terhadap Kemampuan Keluarga Dalam Merawat Klien Skizofrenia Di Poli Jiwa Puskesmas Kalitidu

2020 ◽  
Vol 10 (2) ◽  
Author(s):  
Yusuf Efendi ◽  
Errix Kristian Julianto
Keyword(s):  
Mental Disorders ◽  
Group Intervention ◽  
Family Members ◽  
Wilcoxon Test ◽  
Sign Test ◽  
Significance Level ◽  
Self Help ◽  
Before And After ◽  
Self Help Groups ◽  
Self Help Group

ABSTRAKDiera perkembangan jaman saat ini, beberapa keluarga dihadapkan dengan permasalahna tentang adanya angggota keluarga yeng mengaami gangguan jiwa, tak jarang keluarga tidak mengetahui bagaimana merawat angota keluarga dengan gangguan jiwa. Self help group pada keluarga dengan gangguan jiwa perlu dilakukan untuk membantu keluarga mengatasi permasalahannya yang diselesaikan bersama dalam kelompok. Manfaat yang didapatkan pada terapi ini adalah terdapatnya peningkatan pengetahuan keluarga tentang Skizofrenia. Peningkatan pengetahuan ini akan berdampak terhadap kemampuan keluarga dalam merawat klien Skizofrenia..Desain penelitian ini menggunakan desain pre eksperimental dengan rancangan one group pre-posttest design. Sampel pada penelitian ini adalah keluarga penderita Skizofrenia di PKU Jiwa Kalitidu yang berjumlah 32. . Data dikumpulkan menggunakan kuesioner kemudian dianalisis dengan menggunakan uji Wolcoxon sign dengan tingkat kemaknaan 0,05. Hasil penelitian menunjukkan bahwa kondisi responden sebelum dan sesudah dilakukan intervensi dengan self help group pada kemampuan merawat dengan  nilai uji wilcoxon sebesar 0,001 yang berarti ada pengaruh dari intervensi self help group dengan merawat keluarga dengan gangguan jiwa. Kata Kunci       : Self Help Group, Kemampuan Merawat, Skizofrenia   ABSTRACT. In the current era of development, some families are faced with problems about family members who suffer from mental disorders, often families do not know how to care for family members with mental disorders. Self help groups for families with mental disorders need to be done to help families overcome the problems that are solved together in a group. The benefit of this therapy is that there is an increase in family knowledge about Schizophrenia. This increase in knowledge will have an impact on the ability of families to care for Schizophrenia clients.The design of this study used a pre-experimental design with one group pre-posttest design. The sample in this study was the families of Schizophrenics in  Kalitidu public helath centre, amounting to 32.. Data were collected using a questionnaire and then analyzed using the Wolcoxon sign test with a significance level of 0.05.The results showed that the condition of the respondents before and after the intervention with self help group on the ability to care for Wilcoxon test value of 0.001, which means there is an influence of self help group intervention by caring for families with mental disorders. Keywords: Self Help Group, Caring Ability, Schizophrenia

Sign in / Sign up

Export Citation Format

Share Document