关键词: 农产品, 生存分析, 贸易关系, 持续时间, 正交多项式逼近, 非线性趋势, 单位根检验, 检验功效

Abstract: Conventional unit root test usually assumes the series with linear deterministic trend. But in case of nonlinear trend, the test power becomes impotent drastically, resulting in test failure. Orthogonal polynomial approximation is proposed to estimate the nonlinear deterministic trend and then the residual is used to test the unit root. This paper researches the properties of orthogonal polynomial approximation to any linear or nonlinear trend, and then deduces the limiting distribution of unit root test statistic based on orthogonal polynomial approximation and suggests how to decide the highest order of orthogonal polynomial. The test powers are simulated with residuals correlated or non-correlated. The results show that the proposed method works well.

Key words: Agriculture Products, Survival Analysis, Trade Relationship, Duration, Orthogonal Polynomial Approximation, Nonlinear Trend, Unit Root Test, Test Power