• 论文 •

### 时间趋势平稳性检验的带宽选择及其影响

• 出版日期:2012-04-15 发布日期:2012-04-17

### Bandwidth Selection of Time Trend Stationarity Test and Its Effects

Zhou Shaofu & Zuo Xiuxia

• Online:2012-04-15 Published:2012-04-17

Abstract: This paper introduces the idea of determining kernel function’s bandwidth by minimizing the probability of two types of errors into KPSS test. In this paper, the Finite Sample Properties based on minimizing Mean Square Error and on minimizing the probability of two types of errors are compared by Monte Carlo Simulation. And the Stationarity of the logarithmic series of Chinese Quarterly Real GDP is tested. The results show that, the size distortion of the test based on minimizing the probability of two types of errors is larger than the one based on minimizing Mean Square Error, the test’s power, however, is also larger. And in most cases, when error term’s autoregressive coefficient is less than or equal to 0.5, the test based on minimizing the probability of two types of errors has better Finite Sample Properties. And the logarithmic series of Chinese Quarterly Real GDP is unit root process with drift.