Эксоцман
на главную поиск contacts
В разделе собрана информация о статьях по экономике, социологии и менеджменту. Во многих случаях приводятся полные тексты статей. (подробнее...)

Biometrika

Выпуски:
Опубликовано на портале: 13-04-2004
Peter Charles Bonest Phillips, Pierre Perron Biometrika. 1988.  Vol. 75. No. 2. P. 335-346. 
This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey ${\tt\&}$ Fuller. Simulations are reported on the performance of the new tests in finite samples.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию