基于带确定性趋势ESTAR模型的单位根检验

Unit Root Test Based on ESTAR Model With Deterministic Trend

文章就全局平稳的带趋势项ESTAR模型的单位根检验进行研究。与带趋势项AR模型不同的是,带趋势项ESTAR模型的两种形式有着不同的波动。通过采用直接检验法和去趋势检验法对这两种形式的ES-TAR模型进行单位根检验,并加以对比。推导了直接检验法下KSS检验统计量的极限分布,通过Monte Carlo模拟进一步给出了其临界值和相应的模拟结果。结果表明,对于不同形式的带趋势ESTAR模型进行单位根检验应该用不同的检验法区别对待。

This paper makes a study on the unit root test of global stationary ESTAR model with trend term. Unlike the AR model with trend term, the two forms of the ESTAR model with trend term have different fluctuations. This paper uses direct test method and de-trend test method to carry out the unit root test of ESTAR model of these two forms and makes comparisons. Then,the paper derives the limit distribution of KSS test statistics under the direct test method, and also presents the critical value and the corresponding simulation results by Monte Carlo simulation. The results show that the unit root test for different ESTAR models with trend should be given differentiated treatment with different test methods.