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ADF与PP法在非对称单位根检验中的应用研究 被引量：3

Research into the ADF and PP Methods in Asymmetric Unit Root Test
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摘要 经济理论认为许多经济变量具有非对称的阈值自回归调整行为,而标准的单位根检验ADF和PP法都是基于线性自回归模型而构造的,因此对非对称单位根检验并不适用。本文应用Monte-Carlo模拟方法对ADF和PP检验在TAR与M-TAR模型下的检验势进行系统研究,并对模拟结果的产生原因进行了深入分析。模拟结果表明:数据的非对称性程度和数据的均值回复时间是影响ADF和PP检验的最主要因素;当非对称性增强和均值回复时间增大时,ADF和PP的检验势都具有较大幅度的下降,但是PP比ADF法具有更大程度的下降。 Economic theory often predicts that some economic variables display asymmetric threshold autoregressive adjustments towards their long-run equilibrium, but standard ADF and PP test methods are misspecified in this case, consequently, may suffer from a lack of power against such alternatives. This paper aims to study the power of ADF and PP against such alternatives as TAR or M-TAR, and analyse some reasons for that. Mont-Carlo experiments demonstrate that the Asymmetry and mean-reversion of the data plays a important role in the power of ADF and PP methods ; and when the Asymmetry and mean-reversion is very strong, the power of ADF and PP test falls dramatically, but the PP method is less powerful than the ADF test.
作者 刘汉中 李陈华
机构地区 湖南商学院经济与贸易学院 湖南商学院经济与管理研究院
出处 《预测》 CSSCI 2008年第6期67-72,共6页 Forecasting
基金 国家社会科学基金资助项目(06CZY029)
关键词 TAR与M-TAR模型 MONTE-CARLO模拟 非对称性 检验势 TAR and M-TAR model Monte-Carlo simulation asymmetry test power
分类号 F224 [经济管理—国民经济]
  • 相关文献

参考文献14

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  • 5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
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二级参考文献48

  • 1赵留彦,王一鸣,蔡婧.中国通胀水平与通胀不确定性:马尔柯夫域变分析[J].经济研究,2005,40(8):60-72. 被引量：92
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共引文献82

同被引文献43

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引证文献3

二级引证文献5

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2008年 第6期

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