摘要
原假设的合理设定是单位根检验的首要问题,至今尚无学者对此进行深入研究。通过剖析以往单位根检验原假设设定存在的缺陷,在同时考虑原假设的可信度和检验可靠性的前提下,本文提出了单位根检验原假设的一种合理的设定策略及改进的检验程序。
It＇s a primer problem of unit root test that establishing the nuU hypothesis reasonably, which is not studied deeply up to now. Through analyzing the drawbacks in past relative researches of ADF （DF） test and PP test, this paper gives a joint strategy for establishing the null hypothesis of unit root test reasonably and an advanced testing procedure under considering the reliability of unit root test.
出处
《数理统计与管理》
CSSCI
北大核心
2008年第3期418-422,共5页
Journal of Applied Statistics and Management
关键词
单位根
原假设
可靠性
unit root, null hypothesis, reliability
