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基于残差的非对称单位根自助法检验研究 被引量：1

Research on The Bootstrap Method based on Residual in Asymmetric Unit-Root Tests
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摘要 本文在研究非对称单位根检验EG法并指出其优缺点的基础上,应用基于残差的块形非参数自助法(RBB法)对EG法进行了改进,并对改进后的新方法进行了仿真研究。仿真结果表明,新的EG法不仅可以降低原EG法的检验水平扭曲,而且也具有比较高的检验势(甚至在对称单位根检验中)。同时在仿真中也发现,通过RBB法改进后的EG法可以在一定程度上克服ADF法在近单位根过程中的低势缺陷。 In this paper, we reconsider the Enders-Granger method （1998） and point out an important deficiency about it. By using a nonparametric residual-based block bootstrap method （RBB）, we put forward a new method based on EG method. And a set of Monte-Carlo simulation examines the finite sample performance of our new method. The result show. First, our method can decrease test size distortions of the EG method. Second, the new method has greater power than that of ADF method and the original EG method under asymmetric unit root test. In addition, our new method can improve the test power in very near unit root processes.
作者 刘汉中 傅元海
机构地区 湖南商学院经济与贸易学院
出处 《数量经济技术经济研究》 CSSCI 北大核心 2008年第8期151-160,共10页 Journal of Quantitative & Technological Economics
基金 国家社会科学基金的赞助(项目编号:07BJY127)
关键词 Enders—Granger方法 非对称单位根 RBB法 检验水平和检验势 Enders-Granger Method Asymmetric Unit Root RBB Method, Test Size and Test Power
分类号 F224.0 [经济管理—国民经济]
  • 相关文献

参考文献14

  • 1刘汉中.Enders-Granger方法在协整检验中的应用研究[J].数量经济技术经济研究,2007,24(8):137-144. 被引量：19
  • 2刘汉中.具有GARCH(1,1)-正态误差项的非对称单位根检验研究[J].统计研究,2007,24(11):74-79. 被引量：3
  • 3Chan, K.S. , H. Tong, 1985, A multiple threshold model AR (1) model [J]. Journal of Applied Probability 22, 267-279.
  • 4Davies, R. B, 1987, Hypothesis testing when a nuisance parameter is present only under the alternative [J], Biometrika 74, 33-43.
  • 5Donald W. K. Andrews, 1993, Tests for parameter instability and structural change with unknown change point [J], Eeonometriea, Vol. 61, No. 4, 821-856.
  • 6Donald W. K. Andrews and Patrik Guggenberger, 2008, Asymptotics For Stationary Very Nearly Unit Root Processes [J], journal of time series analysis, 29 (1), 203-210.
  • 7Efstathios Paparoditis and Dimitris N. Politis, 2003, Residual-Based Block Bootstrap for Unit Root testing [J], Econometrica, Vol. 71, No. 3, 813-855.
  • 8Kenneth Rogoff, 1996, The Purcha sin g Power Parity Puzzle [J], Journal of Economic Literature, Vol. XXXIV, 647-668.
  • 9Myunghwan Seo, 2005, Unit Root Test in a Threshold Autoregression. Asymptotic Theory and Residual- based Block Bootstrap [J], Department of Economics, London School of Economics.
  • 10Pippenger, M. K. and Goering, G. E, 1993, A note on the empirical power of unit root tests under threshold processes [J], Oxford Bulletin of Economics and Statistics, 55 (4), 373-481.

二级参考文献25

  • 1Bruce E. Hansen and Byeongseon Seo, 2002, Testing for two-regime threshold cointegration in vector error-correction models [J], Journal of Econometrics, 110, 293- 318.
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  • 5Engle R. F and Granger C. W. J, 1987, Cointegration and errr correction : Representation, Estimation and Testing [J], Econometrica, Vol. 55, No. 2, 251-276.
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共引文献19

同被引文献13

  • 1Chan K S, Tong H. A multiple threshold model AR(1) model [J]. Journal of Applied Probability, 1985(22):267-279.
  • 2Andrews Donald W K. Tests for parameter instability and structural change with unknown change point [J ]. Econometrica, 1993(4) :821 - 856.
  • 3Davies R B. Hypothesis testing when a nuisance parameter is present only under the alternative [J]. Biometrika, 1987(74) : 33 - 43.
  • 4Galbraith J W, Zinde - Walsh V. On the distributions of augmented Dickey - Fuller statistics in processes with moving average components[J]. Journal of Econometrics, 1999(93) .25- 47.
  • 5Walter Enders, Granger C W. Unit - mot tests and asymmetric adjustment with an example using the term structure of interest rates[J]. Journal of Business & Economic Statistics, 1998, 16(3) -304 - 311.
  • 6Tong H. Non- linear time series--a dynamical system approach[ M]. New York: Oxford University Press, 1990:96 - 120.
  • 7Pippenger M K, Goering G E. A note on the empirical power of unit root tests under threshold processes [J]. Oxford Bulletin of Economics and Statistics, 1993, 55(4) :373 - 481.
  • 8Balke Nathan S, Fomby Thomas B. Threshold cointegration[ J ]. International Economic Reviews, 1997,38 (3) : 627 - 645.
  • 9Walter Enders. Improved critical values for the Enders- Granger unit- root test[J]. Applied Economics Letters, 2001(8) :257 - 261.
  • 10Chan K S. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model[J]. The Annals of Statistics, 1993(21) : 520 - 533.

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数量经济技术经济研究
2008年 第8期

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