AN INTERPOLATION TEST FOR A UNIT-ROOT IN THE PRESENCE OF DRIFT

被引：0
|
作者：
GUILKEY, DK [1 ]
SCHMIDT, P [1 ]
机构：
[1] MICHIGAN STATE UNIV,DEPT ECON,E LANSING,MI 48823
来源：
BIOMETRIKA | 1991年 / 78卷 / 04期
关键词：
INTERPOLATION TEST; MONTE-CARLO; UNIT ROOT;
D O I：
暂无
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.
引用
收藏
页码：809 / 815
页数：7
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