Dong Wan Shin
Biographic Data
| ID | 8921170 |
|---|---|
| NAME | Dong Wan Shin |
| GIVEN NAMES | Dong Wan |
| FAMILY NAME | Shin |
| SIGNATURE | SHIN D W |
| AFFILIATIONS | Ewha Womans University |
| ORCID | 0000-0002-2685-6566 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1999 |
| LATEST PUBLICATION YEAR | 2001 |
| H-INDEX | 0 |
Tests for Asymmetry in Possibly Nonstationary Time Series Data
Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. Thi…
Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators
The authors develop new semiparametric tests for double unit roots under a weakly dependent error structure of Phillips for tests for a unit root. The tests are based on symmetric estimation of Sen and Dickey. Through Monte Carlo simulations, the new tests are compared with the tests of Haldrup and of Dickey and Pantula. Their tests have empirical sizes close to the nominal size even when the innovations follow a negatively autocorrelated moving …
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Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators
The authors develop new semiparametric tests for double unit roots under a weakly dependent error structure of Phillips for tests for a unit root. The tests are based on symmetric estimation of Sen and Dickey. Through Monte Carlo simulations, the new tests are compared with the tests of Haldrup and of Dickey and Pantula. Their tests have empirical sizes close to the nominal size even when the innovations follow a negatively autocorrelated moving …
Tests for Asymmetry in Possibly Nonstationary Time Series Data
Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. Thi…
Econometrics (2 works) · Estimator (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Monte Carlo method (2 works) · Statistical hypothesis testing (2 works) · Statistics (2 works) · Applied Mathematics (1 work) · Asymmetry (1 work)