Analisis critical root value pada data nonstasioner

Aziz, Abdul (2011) Analisis critical root value pada data nonstasioner. Cauchy: Jurnal Matematika Murni dan Aplikasi, 2 (1). pp. 1-6. ISSN 2086-0382

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Abstract

A stationery process can be done t-test, on the contrary at non stationery process t-test cannot be done again because critical value of this process isn’t t-distribution. At this research, we will do simulation of time series AR(1) data in four non stationery models and doing unit root test to know critical value at ttest of non stationery process. From the research is yielded that distribution of critical point for t-test of non stationery process comes near to normal with restating simulation of random walk process which ever greater. Result of acquirement of this critical point has come near to result of Dickey-Fuller Test. From this research has been obtained critical point for third case which has not available at tables result of Dickey-Fuller Test.

Item Type:	Journal Article
Keywords:	non stationery; unit root test; critical value; distribution; simulation
Subjects:	01 MATHEMATICAL SCIENCES > 0102 Applied Mathematics > 010205 Financial Mathematics 01 MATHEMATICAL SCIENCES > 0102 Applied Mathematics > 010299 Applied Mathematics not elsewhere classified 01 MATHEMATICAL SCIENCES > 0104 Statistics > 010401 Applied Statistics 01 MATHEMATICAL SCIENCES > 0104 Statistics > 010406 Stochastic Analysis and Modelling
Divisions:	Faculty of Mathematics and Sciences > Department of Mathematics
Depositing User:	Mr. Abdul Aziz
Date Deposited:	21 Aug 2018 09:03

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