单位根DF检验中漂移项、趋势项的分布特征

On Distributions of the Drift and the Trend in Unit Root DF Test

基于一般的单位根DF检验式,推导了其中漂移项和趋势项的t统计量的极限分布,这些统计量都是标准Wiener过程的泛函.用Monte Carlo模拟方法给出了漂移项和趋势项的t统计量的经验分位数表,并得到其分布都是双峰的,不同于一般的t分布.实例证明了用该方法检验单位根模型的有效性.

This paper derives the limit distributions of the t-statistics of the drift and the trend in unit root DF test. These statistics are functions of standard Wiener process. The empirical critical values are obtained by Monte Carlo simulation method with finite samples and the distributions are hi-modal, different from ordinary t-statistics. A real example shows the validity of this method.