ADF单位根检验法的替代方法

发布时间：2018-04-05 19:09

本文选题：单位根　切入点：ADF检验　出处：《数量经济技术经济研究》2017年06期

【摘要】：研究目标:ADF单位根检验法的替代方法——消除趋势检验法。研究方法:通过蒙特卡罗仿真估算了消除趋势法、ADF法和差分法的检验临界值和检验功效;估算了三种方法检验临界值关于样本容量的响应面函数;估算了消除趋势回归中趋势项和截距项的t统计量的检验临界值及其响应面函数。研究发现:在各种情形下,消除趋势法的检验功效均大于ADF法,而且在误差项相关时更为明显,说明消除趋势法优于ADF法,可以完全替代ADF法;在某些情况下,差分法的检验功效较大。研究创新:对ADF检验模型进行了改进,提出了消除趋势检验法。研究价值:在单位根检验时,可以用消除趋势法代替一直以来被广泛采用的ADF法,提高单位根检验的功效。
[Abstract]:This paper studies the alternative method of unit root test of goal: ADF-eliminating trend test.Methods: Monte Carlo simulation is used to estimate the critical value and efficiency of ADF method and difference method, and the response surface function of critical value about sample size is estimated.The test critical value and response surface function of the t statistic of trend term and intercept term in eliminating trend regression are estimated.It is found that in all cases, the effectiveness of eliminating trend method is greater than that of ADF method, and it is more obvious when the error term is related. It shows that the elimination trend method is superior to ADF method and can completely replace ADF method; in some cases, the elimination trend method can completely replace the ADF method.The difference method is more effective in testing.Research innovation: the ADF test model is improved, and the test method of eliminating trend is put forward.Research value: in unit root test, elimination trend method can be used to replace the widely used ADF method to improve the efficiency of unit root test.
【作者单位】：浙江师范大学经济与管理学院;
【基金】：国家自然科学基金项目“面向全球战略的制造业创新型人才开发机制与行动策略模式:基于长三角汽车业的实证研究”(71472170)的资助
【分类号】：F224.0

【相似文献】