带漂移项的DF检验式中漂移项t统计量的分布特征研究

Distribution of the T-statistic of the Drift in DF Test Model with Drift

本文推导了带漂移项的DF检验式中漂移项的t统计量的极限分布,它们是Wiener过程的泛函。并用蒙特卡罗模拟方法给出该统计量的估计分布。该分布是双峰的,分布方差比t分布的大。依据模拟结果,估计出该分布的6个百分位数对样本容量的响应面函数,并给出带漂移项的DF检验式中漂移项是否为零的检验用表。

In this paper, we derive the limit distributions of the t - statistic of the drift in DF test model with drift, which are the functions of Wiener process, and show the estimated distribution of the t - statistics with finite samples by Monte Carlo simulation method. The distributions are bi - modal. The variances of the distributions are much larger than that of the student t - statistics. Based on the simulation results, we present the response surface functions of the eight percentiles of the t - statistics and the significant test table for the drift in DF test model.