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ADF检验与PP检验的可靠性比较

A Comparison of Reliability between ADF Test and PP Test
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摘要 指出了传统ADF检验与PP检验可靠性比较中存在的缺陷和不确定性以及这些检验本身存在的问题;以统计量的实际分位数为临界值,在选择滞后截断参数使单位根检验具有最高势的前提下,通过比较检验的势给出了ADF检验和PP检验可靠性的比较结果及其适用范围。 This paper points out the limitation in reliability comparison of ADF test and PP test, as well as in these tests programming. Taking the real differential digit as critical value and selecting lag truncation parameter to make root test have maximum power, the author compares the reliability of ADF test and PP test through their theoretical power.
作者 靳庭良
机构地区 河南财经学院经济学系
出处 《石家庄经济学院学报》 2007年第1期71-76,共6页 Journal of Shijiazhuang University of Economics
关键词 单位根 可靠性 势 unit root reliability power
分类号 F224.0 [经济管理—国民经济]
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参考文献16

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二级参考文献9

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共引文献12

石家庄经济学院学报
2007年 第1期

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