%0 Journal Article
%T Gaussian Tests for Seasonal Unit Roots in Periodical Heteroscedastic Time Series<br>周期异方差时间序列中季节单位根的Gauss 检验
%A XIAO Yan-ting
%A TIAN Zheng
%A <br>肖燕婷
%A 田铮
%J 系统工程理论与实践
%D 2006
%I 
%X The paper propose test statistics based on Cauchy estimation for unit root with periodical heteroscedastic shocks in seasonal time series.Under null hypothesis,the limit distributions of statistics are standard normal regardless of the period of seasonality and periodical heteroscedasticity of shocks.By Monte Carlo simulation,it is obtained that the estimators have smaller errors by this method than LSE when the autoregressive coefficient is close to 1.Simulations and a real example show the convenience and validity of this test method.
%K periodical heteroscedasticity(PH)
%K seasonal unit root
%K Cauchy estimation
%K Gaussian test<br>周期异方差
%K 季节单位根
%K Cauchy估计
%K Gauss检验
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=CFECAC6A1FD2BDB6&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=5D311CA918CA9A03&sid=AE09EACBCD1B2A13&eid=1F199509C0B6C4D6&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=8