| 具有GJR-GARCH-skewt误差项时序的ADF单位根检验 |
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| 引用本文： | 刘珂,彭作祥. 具有GJR-GARCH-skewt误差项时序的ADF单位根检验[J]. 泰山学院学报, 2006, 28(6): 14-18 |
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| 作者姓名： | 刘珂 彭作祥 |
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| 作者单位： | 西南大学,数学与财经学院,重庆,400715 |
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| 基金项目： | 国家自然科学基金;重庆市自然科学基金 |
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| 摘 要： | 本文在有限样本情况下，用Monte Carlo方法模拟了具有GJR—GARCH—skewt误差项时间序列的ADF单位根检验．分析模型中误差项的波动、条件分布中参数的设定、样本容量及杠杆效应对临界值的影响．结果显示．随着波动的持久性加强，使用经典ADF单位根检验的Zi、ZpFuller临界值将降低检验的有效性．
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| 关 键 词： | 随机模拟 GJR-GARCH-skewt误差项 ADF单位根检验 有效性分析 |
| 文章编号： | 1672-2590（2006）06-0014-05 |
| 收稿时间： | 2006-09-17 |
| 修稿时间： | 2006-09-17 |
ADF Unit Root Test on Time Series with GJR-GARCH-skewt Error Term |
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| LIU Ke,PENG Zuo-xiang. ADF Unit Root Test on Time Series with GJR-GARCH-skewt Error Term[J]. Journal of Taishan University, 2006, 28(6): 14-18 |
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| Authors: | LIU Ke PENG Zuo-xiang |
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| Affiliation: | College of Mathematics and Finance, Southwest China University,Chongqing 400715,China |
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| Abstract: | We simulate the finite-sample ADF unit root test with data generated from GJR- GARCH-skewt error processing by Monte Carlo simulation,and discuss the volatility of disturbance, parameters in conditional distribution,sample length and lever effect. The result suggests that, along with strengthens of volatility durability, the validity of examination will be reduced by the Fuller critical values of Zl,Zpwhich were got by ADF test. |
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| Keywords: | stochastic simulation GJR-GARCH-skewt error term ADF unit root test validity analysis |
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