傅里叶型平滑结构突变下Dickey-Fuller检验的功效——兼论Shibor的平稳性

发布时间：2018-04-12 09:11

  本文选题：单位根检验 + 功效　； 参考：《统计与信息论坛》2016年05期

【摘要】：通过推导Dickey-Fuller检验功效函数,研究表明:即使中小型的傅里叶型结构突变,都会严重影响Dickey-Fuller检验的功效,从而使得含傅里叶型平滑结构突变的平稳过程被误判为单位根过程。使用3、6、9个月期和一年期Shibor日度数据发现:传统的ADF、PP、DF-GLS和KPSS几乎都指出Shibor是单位根过程;考虑平滑结构突变的单位根检验则在1%的显著性水平下拒绝了单位根的原假设,这表明Shibor是含结构突变的平稳过程。因此,预测Shibor和理解其动态行为必须考虑其结构突变特征。
[Abstract]:By deducing the function function of Dickey-Fuller test, it is shown that even small and medium-sized Fourier structure mutations will seriously affect the efficacy of Dickey-Fuller test, thus making the smooth process with Fourier smooth structure mutation misjudged as unit root process.Using Shibor daily data of 3 ~ 6, 9 months and 1 year, it was found that the traditional ADF PPP DF-GLS and KPSS all pointed out that Shibor is a unit root process, whereas the unit root test considering smooth structural mutation rejected the original hypothesis of unit root at the level of 1% significance.This indicates that Shibor is a stationary process with structural changes.Therefore, to predict Shibor and understand its dynamic behavior must consider its structural mutation characteristics.
【作者单位】： 西北民族大学经济学院;兰州大学管理学院;台湾中山大学经济研究所;
【基金】：中央高校基本科研业务费专项资金项目《考虑结构突变的计量预测方法及其应用》(31920150119)
【分类号】：F832.33;F224
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本文编号：1739101