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Testing for Unit Roots Topic of Mid-Michigan Presentation

1 November 2009 929 views No Comment

ASA President-elect Sastry Pantula was the guest speaker at the mid-Michigan Chapter’s semiannual presentation on October 7, 2009. Pantula is head of the statistics department at North Carolina State University and a Fellow of the American Statistical Association.

The presentation included a talk on the seminal work of D. A. Dickey and Wayne Arthur Fuller on testing for unit roots in time series data. There have been a number of papers published in this area. These tests also formed a basis for cointegration models and integrated FARCH models. Size, power, and robustness to model misspecification of various unit root test criteria were discussed. Examples of unit root time series and future directions in unit root hypothesis testing were presented.

In addition to the presentation, the chapter had their semiannual meeting on October 8. The title of the meeting presentation was GIVE to ASA. Initiatives supporting the ASA’s strategic plan, as well as the JSM 2010 theme—“Statistics: A Key to Innovation in a Data-Centric World”—were discussed.

Both presentations were open to the public.

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