| ADF检验与PP检验的可靠性比较 |
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| 引用本文： | 靳庭良.ADF检验与PP检验的可靠性比较[J].石家庄经济学院学报,2007,30(1):71-76. |
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| 作者姓名： | 靳庭良 |
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| 作者单位： | 河南财经学院,经济学系,河南,郑州,450002 |
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| 摘 要： | 指出了传统ADF检验与PP检验可靠性比较中存在的缺陷和不确定性以及这些检验本身存在的问题;以统计量的实际分位数为临界值,在选择滞后截断参数使单位根检验具有最高势的前提下,通过比较检验的势给出了ADF检验和PP检验可靠性的比较结果及其适用范围。
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| 关 键 词： | 单位根 可靠性 势 |
| 文章编号： | 1007-6875(2007)01-0071-06 |
| 修稿时间： | 2006-10-25 |
A Comparison of Reliability between ADF Test and PP Test |
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| JIN Ting-liang.A Comparison of Reliability between ADF Test and PP Test[J].Journal of Shijiazhuang University of Economics,2007,30(1):71-76. |
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| Authors: | JIN Ting-liang |
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| Abstract: | This paper points out the limitation in reliability comparison of ADF test and PP test,as well as in these tests programming.Taking the real differential digit as critical value and selecting lag truncation parameter to make root test have maximum power,the author compares the reliability of ADF test and PP test through their theoretical power. |
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| Keywords: | unit root reliability power |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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