高次趋势单位根检验的小样本和有限样本分布

Distribution of Small and Finite Samples of Unit Root Test With High-order Trend

文章采用蒙特卡罗仿真得到了小样本和有限样本下高次趋势DF单位根检验的统计量在常用显著性水平下的临界值,并与现有研究的结果进行了比较,在此基础上分析了其临界值在样本量和趋势项阶数变化过程中的变动规律。结果显示,临界值与现有研究非常接近。统计量的小样本和有限样本分布比渐近分布更分散,且其分散的趋势随样本量的减小而逐渐明显。随着趋势项阶数的增大,统计量的分布向左平移,但平移的幅度不断减小。

By using Monte Carlo simulation,this paper obtains the critical value of the DF unit root test statistics with high-order trend in small and finite samples at the commonly used significance level,and also compares it with the results of existing researches.On this basis,the paper analyzes the change rule of its critical value in the process of sample size and trend term order change.The results show that the critical value is very close to that in existing researches,that the small and finite samples distribution of the statistics are more dispersed than the asymptotic distribution,that the trend of dispersion becomes more obvious with the decrease of sample size,and that the distribution of statistics moves towards the left and the amplitude decreases continuously with the increase of the trend term order.