摘要
传统单位根检验方法常常假设带有线性的确定性趋势,但如果趋势是非线性的,通常会因为检验功效大幅下降而导致检验失败。本文研究用正交多项式逼近非线性趋势,然后对残差进行单位根检验的方法,研究了用正交多项式进行趋势逼近的性质,推导了这种方法进行单位根检验时统计量的极限分布,提出了正交多项式最高阶数的确定方法,仿真研究了残差相关与不相关时的检验功效。结果表明,检验方法是有效的。
Conventional unit root test usually assumes the series has deterministic trend and the trend is linear.But in case of nonlinear trend,the test power becomes impotent drastically,resulting in test failure.Orthogonal polynomial approximation is proposed to estimate deterministic nonlinear trend and then the residual is used to test the unit root.This paper researches the properties of orthogonal polynomial approximation to any linear or nonlinear trend,deduces the limiting distribution of unit root test statistic based on orthogonal polynomial approximation and suggests how to decide the highest order of orthogonal polynomial.The test powers are simulated with residuals correlated or non-correlated.The results show that the proposed method works well.
出处
《统计研究》
CSSCI
北大核心
2011年第4期99-105,共7页
Statistical Research
基金
西南财经大学"211工程三期"统计学重点学科建设项目
西南财经大学科研资金资助项目(2010XG047)资助
关键词
正交多项式逼近
非线性趋势
单位根检验
检验功效
Orthogonal Polynomial Approximation
Nonlinear Trend
Unit Root Test
Test Power
