| 局部平稳性未知条件下基于ESTAR模型的单位根检验 |
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| 引用本文： | 胡俊娟 陈振龙 章迪平. 局部平稳性未知条件下基于ESTAR模型的单位根检验[J]. 商业经济与管理, 2015, 0(9): 89-96 |
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| 作者姓名： | 胡俊娟 陈振龙 章迪平 |
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| 作者单位： | 1. 浙江科技学院
2. 浙江工商大学 |
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| 摘 要： | 文章探讨了局部平稳性未知情况下ESTAR模型的单位根检验，提出了修正的Wald统计量，通过模拟给出了其临界值，推导出了该统计量的极限分布，并分析了在有限样本下该统计量的特性。通过蒙特卡罗模拟，该检验统计量具有良好的检验水平和较高的检验功效，进一步通过模拟发现在全局平稳非线性ESTAR模型下，该修正的Wald统计量比KSS型统计量具有更高的检验功效。
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| 关 键 词： | 单位根 Wald统计量 ESTAR模型 渐进分布 |
| 收稿时间： | 2015-06-01 |
Unit Root Test against the Globally Stationary ESTARModel under Unknown Partial Stationarity |
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| HU Junjuan CHEN Zhenlong ZHANG Diping. Unit Root Test against the Globally Stationary ESTARModel under Unknown Partial Stationarity[J]. Business Economics and Administration, 2015, 0(9): 89-96 |
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| Authors: | HU Junjuan CHEN Zhenlong ZHANG Diping |
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| Abstract: | This paper discusses the unit root test against the globally stationary ESTAR model when partial stationarity is unknown and a modified Wald-type test is proposed. By simulating to tabulate the critical value, the asymptotic distributions of the test statistics are derived and the properties under finite samples are examined. In a Monte Carlo study, the test statistics show good inspection level and high inspection effects. Furthermore, compared with the popular KSS-type test proposed by Kapetanios et Al., this modified Wald-type model examines the statistics with higher inspection effects by simulating under the non-linear ESTAR model with whole stationarity. |
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| Keywords: | unit root Wald-type test ESTAR model asymptotic distribution |
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