| ADF与PP法在非对称单位根检验中的应用研究 |
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| 引用本文： | 刘汉中,李陈华.ADF与PP法在非对称单位根检验中的应用研究[J].预测,2008,27(6). |
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| 作者姓名： | 刘汉中 李陈华 |
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| 作者单位： | 1. 湖南商学院,经济与贸易学院,湖南,长沙,410205
2. 湖南商学院,经济与管理研究院,湖南,长沙,410205 |
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| 基金项目： | 国家社会科学基金资助项目 |
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| 摘 要： | 经济理论认为许多经济变量具有非时称的阚值自回归调整行为.而标准的单位根检验ADF和PP法都是基于线性自回归模型而构造的,因此对非对称单位根检验并不适用.本文应用Monte-Cado模拟方法对ADF和PP检验在TAR与M-TAR模型下的检验势进行系统研究.并对模拟结果的产生原因进行了深入分析.模拟结果表明:数据的非对称性程度和数据的均值回复时间是影响ADF和PP检验的最主要因素;当非对称性增强和均值回复时间增大时,ADF和PP的检验势都具有较大幅度的下降,但是PP比ADF法具有更大程度的下降.
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| 关 键 词： | TAR与M-TAR模型 Monte-Cado模拟 非对称性 检验势 |
Research into the ADF and PP Methods in Asymmetric Unit Root Test |
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| LIU Han-zhong,LI Chen-hua.Research into the ADF and PP Methods in Asymmetric Unit Root Test[J].Forecasting,2008,27(6). |
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| Authors: | LIU Han-zhong LI Chen-hua |
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| Institution: | LIU Han-zhong1,LI Chen-hua2 |
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| Abstract: | Economic theory often predicts that some economic variables display asymmetric threshold autoregressive adjustments towards their long-run equilibrium,but standard ADF and PP test methods are misspecified in this case,consequently,may suffer from a lack of power against such alternatives.This paper aims to study the power of ADF and PP against such alternatives as TAR or M-TAR,and analyse some reasons for that.Mont-Carlo experiments demonstrate that the Asymmetry and mean-reversion of the data plays a important role in the power of ADF and PP methods;and when the Asymmetry and mean-reversion is very strong,the power of ADF and PP test falls dramatically,but the PP method is less powerful than the ADF test. |
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| Keywords: | TAR and M-TAR model Monte-Carlo simulation asymmetry test power |
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