ADF单位根检验中联合检验F统计量研究

统计研究 ›› 2007, Vol. 24 ›› Issue (2): 73-80.

ADF单位根检验中联合检验F统计量研究

聂巧平张晓峒

天津商学院;南开大学国际经济研究所

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2007-02-15 发布日期:2007-02-15

The Analysis of United Test of F Statistics in ADF Unit Root Test

Nie Qiaoping ;Zhang Xiaodong

Received:1900-01-01 Revised:1900-01-01 Online:2007-02-15 Published:2007-02-15

摘要/Abstract

摘要： 摘　　要:ADF检验是实际中最常用的单位根检验之一。ADF检验式有三种：（1）不含漂移项和趋势项；（2）只含漂移项不含趋势项；（3）既含漂移项也含趋势项。选用的检验式是否合适将直接影响到ADF检验的功效。为解决ADF检验过程中检验式的选择问题，本文首先从理论上推导了检验式（3）中时间趋势项系数δ与yz-1系数γ的联合检验统计量F的渐近分布；然后，应用蒙特卡罗模拟的方法研究了上述统计量与检验式（2）中关于漂移项α与系数γ的联合检验统计量的分布特征，进而给出了两统计量分布百分位数关于样本容量的响应面函数，从而进一步完善了单位根检验理论与方法。

Abstract: Abstract:ADF test is the most common method of unit root test. There are three kind of ADF testing formula, which are （a） excluding either clrift or time trend, （b） including drift but without time trend and （c） with both drift and time trend. The paper firstly discusses the asymptotic distribution of F united test statistics of both coefficient δ of time trend and coefficient γ of yz- 1, secondly analyses the distributive characteristics of united test statistics of both drift a and coefficient γ by employing Monte Carlo simulation, and finally forwards the responding surface function of the distributive statistics of percentile of sample size. Thereby the paper perfects the theory and methodology of unit test.

Key words: Key words:unit root, ADF test, Monte Carlo simulation, responding surface function

聂巧平张晓峒. ADF单位根检验中联合检验F统计量研究[J]. 统计研究, 2007, 24(2): 73-80.

Nie Qiaoping, Zhang Xiaodong. The Analysis of United Test of F Statistics in ADF Unit Root Test[J]. Statistical Research, 2007, 24(2): 73-80.