时间序列中DF单位根检验存在的问题及方法改进

Problems and Method Improvement of DF Unit Root Test in Time Series

在时间序列分析中,DF单位根检验方法被广泛使用。文章通过随机模拟试验研究这种检验方法的DF统计量在不同情况下的统计特征,并以此为基础论证DF单位根检验方法存在的一些问题:假设检验的设计存在缺陷、小样本时间序列检验和强自回归时间序列检验误判率高、与时间序列分析的目的相悖等。综合来看,使用这种方法不一定能达到时间序列分析的目的,应谨慎使用。

DF unit root test is widely used in time series analysis.This paper studies the statistical characteristics of DF statistic in different cases through stochastic simulation experiments,and on this basis,demonstrates some problems existing in DF unit root test method:defects of hypothesis test design,high misjudgment rate of small sample time series test and strong autoregressive time series test,contrary to the purpose of time series analysis.In conclusion,this method may not achieve the purpose of time series analysis,and should be used with caution.