| 单位根的DF、ADF检验与PP检验比较研究 |
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| 引用本文： | 夏南新.单位根的DF、ADF检验与PP检验比较研究[J].数量经济技术经济研究,2005,22(9):129-135. |
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| 作者姓名： | 夏南新 |
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| 作者单位： | 中山大学岭南学院 |
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| 基金项目： | 国家社会科学基金资助项目（批准号：05BJL062）. |
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| 摘 要： | 在检验时间趋势之前，先确定在时间序列中是否存在单位根（unitroot），只有在单位根假设被拒绝后，才能用带趋势的稳定过程。单位根检验之所以引起广泛兴趣，是因为许多经济时间序列被变换为对数形式后都含有单位根。
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| 关 键 词： | 单位根DF ADF PP检验 |
The Research on the Comparison of Unit Root Test of DF, ADF and PP |
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| Xia Nanxin.The Research on the Comparison of Unit Root Test of DF, ADF and PP[J].The Journal of Quantitative & Technical Economics,2005,22(9):129-135. |
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| Authors: | Xia Nanxin |
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| Abstract: | Before testing time trend, one should determine firstly if unit root in time series exists. As long as existing unit root, null is rejected while stationary process with trend can be used, The reason that the test is extensively interesting is that many time series have unit roots after they are transformed into log-form. |
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| Keywords: | Unit Root DF ADF PP Test |
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