| 基于OLS退势的单位根检验 |
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| 引用本文： | 段鹏,张晓峒. 基于OLS退势的单位根检验[J]. 系统工程理论与实践, 2010, 30(5): 848-856. DOI: 10.12011/1000-6788(2010)5-848 |
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| 作者姓名： | 段鹏 张晓峒 |
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| 作者单位： | 1. 中国人民银行,武汉分行,武汉,430071;南开大学,经济学院,天津,300071
2. 南开大学,经济学院,天津,300071 |
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| 基金项目： | 国家自然科学基金，国家社会科学基金 |
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| 摘 要： | 研究了不同情形下OLS退势单位根检验统计量的性质.推导了检验统计量的渐近分布,同时,运用蒙特卡洛试验模拟了有限样本容量条件下检验统计量的分位数,在拟合分位数关于样本容量响应面函数的基础上,给出检验统计量不同样本容量条件下8个百分位数的估计值,为OLS退势单位根检验提供理论依据和检验用临界值表.
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| 关 键 词： | 退势单位根 渐近分布 蒙特卡洛模拟 响应面函数 |
Unit root test based on OLS detrending |
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| DUAN Peng,ZHANG Xiao-tong. Unit root test based on OLS detrending[J]. Systems Engineering —Theory & Practice, 2010, 30(5): 848-856. DOI: 10.12011/1000-6788(2010)5-848 |
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| Authors: | DUAN Peng ZHANG Xiao-tong |
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| Affiliation: | DUAN Peng~(1,2),ZHANG Xiao-tong~2 (1.Wuhan Branch of the People's Bank of China,Wuhan 430071,China,2.School of Economics,Nankai University,Tianjin 300071,China) |
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| Abstract: | They analysised the properties of the statistic of OLS detrending unit root test in different situations in this paper.The asymptotic distributions of the test statistics were verified,and the quantiles of the test statistics with finite sample size by Monte Carlo simulations were obtained.Furthermore,they fitted the response surface function of quantiles about the sample size,based on the response surface functions,eight empirical quantiles with different sample sizes were tabled.What they have been done i... |
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| Keywords: | detrending unit root asymptotic distribution Monte Carlo simulation response surface function |
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