扰动项非经典假设下检验效率的模拟研究—基于确定趋势模型

Simulation Research on Testing Efficiency of Disturbance Term under the Non-classical Condition-Based on the Deterministic Trend Model

从实证的角度分析3种违背经典假设对检验的影响,得出的结论是:具有零期望独立同分布的扰动项对检验不产生影响;扰动项为异方差时,3类检验具有满意的检验效果;扰动项存在一阶序列时,负相关仍能使用传统检验统计量,正相关受到影响。

Analyzes the testing efficiency empirically from three different views under the non-classical condition.The conclusions are： if the disturbance term is independent and identical distribution with zero expectation,then the classical testing statistical is effective;if the disturbance term is heteroscedasticity,then three kinds of testing statistical can be applied;if the disturbance term is correlated with the first negative coefficient,the testing statistical also works well while it is not true for disturbance term with the first positive coefficient.