на главную поиск contacts

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.

текст статьи находится на сайте автора
Ключевые слова

См. также:
Robert J. Aumann
Econometrica. 1964.  Vol. 32. No. 1/2. P. 39-50. 
Борис Васильевич Боев, Элита Рустамовна Салман, Александр Викторович Баранчиков
Социология: методология, методы и математическое моделирование (Социология: 4М). 2001.  № 13. С. 76-96. 
John Aitchison, Samuel D. Silvey
Biometrika. 1957.  Vol. 44. No. 1/2. P. 131-140. 
Ray C. Fair
Journal of Political Economy. 1978.  Vol. 86. P. 45-61. 
Jerry Hausman
Econometrica. 1978.  Vol. 46. No. 6. P. 1251-1272. 
Robert F. Engle, Kenneth F. Kroner
Econometric Theory. 1995.  Vol. 11. No. 1. P. 122-150.