单位根的秩检验及其应用研究

The Research of Rank Test for Unit Root and its Application

本文系统研究了单位根检验的三种非参数秩检验统计量:RDF检验、得分秩(uni)检验与逆得分秩(ins)检验,推导了逆得分秩的分布。然后运用Monte Carlo模拟给出了各种秩检验的临界值,将秩检验与传统检验的优劣进行了比较,并将这些方法应用于我国货币需求函数各变量月度序列的实证检验。Monte Carlo模拟和实证应用的结果表明,秩检验与传统单位根检验方法相结合可以发现序列中的非线性特征,这将有助于对时间序列特征的深入分析。

This paper describes three rank test statistics for unit root： RDF test,uni test and ins test.The theoretical properties of the tests are discussed and a Monte Carlo study is undertaken.The critical values were given and some conclusions were got by compared with their parametric counterparts.The result indicates that some nonlinear characters will be found by using rank test and traditional tests together.