高次趋势单位根检验的有限样本性质研究

Research on Finite Sample Properties of Unit Root Test with High Order Tend

为了深入研究高次趋势单位根检验的有限样本性质,采用仿真得到的带高次趋势项的DF单位根检验在有限样本下的临界值,并对检验的势和实际水平进行了比较分析.结果表明,检验的势和实际水平总体较好;检验势一般随趋势项阶数、自回归系数ρ以及误差项标准差σ_ε的增大而减小,随样本量和趋势项系数的增大而增大;对三次趋势项系数数量级达到误差项标准差数量级的带三次趋势项的单位根检验,在样本量大于等于200时,仿真结果出现扭曲,导致检验的势和实际水平几乎为0.

In order to explore the finite sample properties of unit root test with high order trend further,this study uses simulated the finite sample critical values of unit root test with high order trend and analyzes the test power and size.Results show that the test power and size are good in general.The power will decrease with the increase of the order of the trend term,the autoregressive coeficient p and the error term's standard deviation oe,whereas it will increase with the increase of the sample size and the trend term coefficient.For unit root test with third order trend,if the magnitude of the third order trend coefficient is as large as that of the error term's standard deviation e and the sample size is equal to or larger than 200,there will be distortion in simulation results,which will lead the power and size almost to zero.