• 论文 •

### 数据初始值对DF类IPS检验势的影响研究

• 出版日期:2013-02-15 发布日期:2013-02-18

### Study on Power of DF Family of IPS Test with the Impact of Initial Value of Data

Zhang Huajie & Li Shi

• Online:2013-02-15 Published:2013-02-18

Abstract: Under the situation where the deviation of the initial observation in each individual time series may not be asymptomatically negligible，we derive the local asymptomatic distribution and power function of Dickey-Fuller family panel unit root test of IPS without deterministic terms．We find that the power is the monotonous function of the initial conditions under heterogeneous local alternative hypothesis．Monte Carlo simulations of small sample demonstrate that the power of DF family of IPS test could be underestimated if the initial condition is assumed to be zero．