考虑结构突变的单位根检验程序研究——基于“新息异常值模型”的Perron检验分析

The Research on the Unit Root Test Procedure with Structural Break

Perron检验是一种考虑结构突变的单位根检验方法,检验统计量的分布依赖于数据生成过程中所包含的确定性趋势和所选取的检验回归式;而在实证分析中真实的数据生成过程是未知的,这使得单位根检验缺乏必要依据,因而探寻科学有效的单位根检验程序是受到广泛关注的问题。基于此,本文在"IO模型"分析框架下,依据Perron检验提出了一套考虑结构突变的单位根检验程序,并通过蒙特卡洛模拟分析了该程序在有限样本情形下的表现。本研究完善了带有结构突变的单位根检验理论,为实证分析提供了有益的建议和参考。

Perron test is one of the methods for unit root test allowing for structural break, and the distributions of the test statistics are dependent on the deterministic trends included in data generated process （DGP） and selected regression. However, the real DGP is unknown in process of the empirical analysis, which leads to no base for unit root test. So it is urgent to search a scientific and effective procedure for unit root test. For this reason, with the analytic frame of ＂Innovational Outlier model＂ and based on Perron test, the paper proposes a procedure for unit root test with structural break and examines the properties of the procedure with finite sample by Monte Carlo simulations, which complements and completes the theories about unit root test with structural break and provides helpful advices and references for empirical analysis.