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Teoriya Veroyatnostei i ee Primeneniya, 2018, Volume 63, Issue 3, Pages 431–446
DOI: https://doi.org/10.4213/tvp5139 (Mi tvp5139) 		 
Robust sign test for the unit root hypothesis of autoregression

M. V. Boldin

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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DOI: https://doi.org/10.4213/tvp5139
Abstract: An $\operatorname{AR}(1)$-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.
Received: 24.02.2017
Revised: 26.10.2017
Accepted: 20.11.2017
English version:
Theory of Probability and its Applications, 2019, Volume 63, Issue 3, Pages 351–363
DOI: https://doi.org/10.1137/S0040585X97T989106
Bibliographic databases:
Document Type: Article
Language: Russian
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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