异常值点对单位根检验的致命影响

The Fatal Attacks to the Unit Root Tests from Outlier

单位根检验是协整建模及误差修正分析的基础与前提。单位根检验结果是否可信,直接影响后续的协整建模过程,从而影响变量之间长期的结构均衡关系,以及短期的误差修正机制。事实上,单位根检验对样本异常值点十分敏感,从而容易导致检验结果的不稳定。与现有大多文献中的模拟数据不同,本文以实例给出了这样一个强有力证据:即使是单个异常值点,也可以对单位根检验产生致命的攻击。同时,比较了不同单位根检验方法对异常值点影响的敏感度。最后,建议了一种诊断单位根检验强影响点的预识别方法。

Unit root testing is the foundation of cointegration model and VEC model. The results of an unit root testing can directly influence the process of modeling, the long-run equilibrium relationship and the short-run error correction mechanism. In fact, unit root testing is sensitive to outliers so as to cause the results of test to be erratic. Compared with the other researches which are mostly based on the simulation, this paper gives a powerful evidence from the actual example. That is, even a single point can cause the fatal attack to the unit root testing. Meanwhile, we compared the sensitivity among the different methods of unit root testing. Finally, we recommend a pre-test method of detecting the outliers which are influential observation to unit root testing.