摘要
单位根检验是时序分析的热点问题,应用极其广泛。文章给出了DF单位根检验的理论基础,并对实际应用过程经常产生的一系列问题进行了情况说明,进一步给出了ADF单位根检验及回归系数联合检验的理论基础,并对ADF单位根检验中最优延迟阶数的确定方法和形式选择给出了建议,最后基于所涉及单位根检验的全过程进行了实例分析。
DF Unit root test is a hot issue in time series analysis and is widely used.This paper gives the theoretical basis of DF unit root test,and explains a series of problems that often arise in the practical application process.Then the paper further gives the theoretical basis of ADF unit root test and regression coefficient test,and gives suggestions on the determination method and form selcetion for optimal lag order in ADF unit root test.Finally,the paper conducts a case analysis based on the whole process of unit root test.
作者
乔舰
Qiao Jian(School of Science,China University of Mining and Technology-Beijing,Beijing 100083,China)
出处
《统计与决策》
CSSCI
北大核心
2021年第3期45-49,共5页
Statistics & Decision
基金
国家自然科学基金资助项目(11671398)
