摘要
在STAR模型框架下,考虑时间序列具有线性确定性趋势成分,本文建立了一个递归退势单位根检验统计量,推导了其渐近分布;并在考虑初始条件情形下,对递归退势、OLS和GLS退势单位根检验统计量的有限样本性质进行了比较研究。若忽略初始条件的影响,GLS退势和递归退势单位根检验统计量的检验势都显著高于OLS退势。随着初始条件的增大,GLS退势单位根检验统计量的检验势下降得比较厉害,递归退势单位根检验统计量的检验势较为稳定,且在样本量较大时更具优势。
This paper focuses on the unit root tests using recursive de-trending procedure against alternative hypothesis where the time series data under investigation follow globally stationary ESTAR processes with alinear deterministic trend. It proposes a unit root test using recursive de-trending method, and derives its asymptotic distribution. The results of comparative study of small sample properties for unit root tests using OLS, GLS and recursive de-trending procedure show that the power of GLS and recursive de-trended unit root tests are better than OLS if the initial condition is negligible. If the initial deviation is sizable, the power of GLS de-trended unit root test declines dramatically, but the recursive de-trended unit root test maintains good power properties, especially for relatively large sample.
出处
《统计研究》
CSSCI
北大核心
2016年第12期101-109,共9页
Statistical Research
基金
中国博士后科学基金项目“非线性STAR模型框架下的单位根检验方法研究”(2014M562245)
国家社会科学基金重点项目“技术进步偏向及其效应的统计测算与计量经济分析”(13ATJ001)的阶段性成果
