摘要
在有限样本情况下通过随机模拟讨论了对具有EGARCH-SGED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、参数变化对临界值的影响.
In this paper, the ADF unit root test of the time series with EGARCH-SGED error has been discussed by Monte Carlo simulation , The results show.if the generating progress is AR(1)-EGARCH-SGED, the Fuller critical value of Zt statistic can be used, but it will be unvalid for the Zρ statistic, if one want to use the Zρ statistic, it must be adjusted.
出处
《山东理工大学学报(自然科学版)》
CAS
2007年第2期56-59,63,共5页
Journal of Shandong University of Technology:Natural Science Edition
基金
国家自然科学基金资助项目(70371061)
重庆市自然科学基金资助项目(CSTC
2005BB8098)