对单位根检验PT统计量响应面函数的研究

Elliott等人于1996年提出了针对特定备择假设具有最优特性的PT单位根检验统计量。这一检验方法引起了众多计量经济学家的重视,并被收入一些新版本的计量软件包。但在实际运用时由于现有的临界值是在原文献给出的4个样本容量相应临界值的基础上插值而得,因而准确性较低,使得检验结果的可靠性受到了影响。本文利用Monte Carlo模拟的方法给出了在相当广泛的样本容量范围内临界值的近似计算公式,并对响应面函数法与插值法的结果做了一个简单的比较。

Research on the Response Surface Function of PT Statistic for Unit-Root Test

Elliott, Rothenberg and Stock proposed the so-called point optimal test statistic, PT statistic, for unit root test in 1996. Since then, this method has been getting more and more popular among econometricians and became a standard module of some new versions of econometric software packages. However, the use of this statistic suffers from lacking of accurate critical values for convenient quantiles and leads to unreliable results. In this paper, by means of Monte Carlo simulation, an approximate formula for calculating the critical values of unit root test for a relatively broad range of sample size is provided. A simple comparison of the results obtained through response surface methodology and interpolation is made.