结构突变对递归均值调整单位根检验功效的影响

Effect of Structural Mutation on RMA-based Unit Root Test Efficacy

递归均值调整(RMA)单位根检验即使用随时间变化的递归样本均值替代原有静态的总样本均值,从而达到均值调整的一种单位根检验方法。该方法形式较为简单,且在降低偏差、方差以及均方误差等方面都有很好的表现。因此,文章就RMA方法在水平突变和斜率突变两种情形下的实际检验水平和检验功效做了相应的研究。结果表明,在结构突变的情形下,RMA单位根检验方法仅在有限条件下有效,在应用该方法时仍需谨慎。

The recursive mean adjustment(RMA) for unit root test refers to a method of replacing the original static total sample mean with the recursive sample mean varying with time so as to achieve a mean adjustment. This method is simple in form and has good performance in reducing deviation, variance, mean square error, etc. In view of this, the paper makes a corresponding study on the actual test level and test efficacy of RMA method in the case of horizontal mutation and slope mutation. The results show that in the case of structural mutation, the RMA-based unit root test is only effective under finite conditions, and cautions should be exercised in the application of this method.