具有TARCH-SGED误差项的ADF单位根检验

ADF Unit Root Test on TARCH-SGED Error

在有限样本情况下通过随机模拟讨论了对具有TARCH-S-GED误差项的ADF单位根检验,分析了模型的滞后阶的设定、样本容量、参数的变化对临界值的影响.结果表明对于数据生成为AR(1)-TARCH(1,1)-SGED的时间序列,在进行ADF单位根检验的时候应该使用Zt统计量,而对Zρ统计量则应该慎用.

This paper discusses the ADF unit root test of the time series with TARCH-SGED error through Monte Carlo simulation and analyzes the effects of the setting of lagging orders, the sample capacity, parameter changes of models on critical values. The results show that if the generated process is AIR（ 1 ）-EGARCH-SGED time sequence, the Fuller critical value of statistic amount can be used, while statistic amount must be adiusted.