Testing for a Unit Root in Time Series Regression
Опубликовано на портале: 13-04-2004
Biometrika.
1988.
Vol. 75.
No. 2.
P. 335-346.
Тематический раздел:
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.
Ключевые слова
deterministic trend unit root математическая модель математический метод эконометрическая модель эконометрический метод
См. также:
[Интернет-ресурс]
Социология: методология, методы и математическое моделирование (Социология: 4М).
2001.
№ 13.
С. 76-96.
[Статья]
Biometrika.
1957.
Vol. 44.
No. 1/2.
P. 131-140.
[Статья]