单位根左侧调整Wald联合检验量研究

Research on Wald Joint Test with Left Adjustment of Unit Root

为提高单位根检验功效,在Wald联合检验量构造中引入左侧调整方法,并讨论特定数据生成过程下检验量分布。理论研究表明:检验量在大样本下收敛于维纳过程的泛函,且与已有检验量分布不同。蒙特卡洛模拟显示两点结论:第一,左侧调整Wald联合检验量分位数随着样本容量增大而减少,且小于对应无调整Wald联合检验量分位数;第二,左侧调整Wald联合检验量不但具有满意的检验水平,而且检验功效不低于无调整Wald联合检验量。研究结果有助于改进单位根联合检验方法,为实证研究提供一种新检验方法,完善了单位根检验流程理论。

To improve the power of unit root test,the left adjustment method is applied to construct the Wald joint statistic and the distribution of statistic under the specific data generation process is also analyzed.Theoretical research shows that the statistic converges to the functional of Wiener process in distribution under large sample size,which is different from any of the existing statistic.Monte Carlo simulation shows two conclusions:first,the quantile of left adjusted Wald joint statistic decreases with the increase of sample size,and is less than that of corresponding unadjusted Wald joint statistic;second,the left adjusted Wald joint statistic not only has a satisfactory size level,but also owns the test power no less than that of the unadjusted Wald joint statistic.The results of this research can help improve the unit root joint test method and provide a new test method for empirical research,which enriches the theory of unit root test process.