Alternative methods of detrending and the power of unit root tests

被引：15

作者：

Hwang, JY

Schmidt, P

机构：

[1] MICHIGAN STATE UNIV,DEPT ECON,E LANSING,MI 48824

[2] SSANGYONG CEMENT IND CO,SEOUL,SOUTH KOREA

来源：

JOURNAL OF ECONOMETRICS | 1996年 / 71卷 / 1-2期

关键词：

unit root; Dickey-Fuller test; point optimal test;

D O I：

10.1016/0304-4076(94)01702-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper suggests unit root tests based on detrending the series by a GLS regression, using an empirically plausible value of the autoregressive root. These tests are related to the point optimal tests of Dufour and King. Monte Carlo experiments show a clear gain in power, relative to other unit root tests such as the Dickey-Fuller tests, over a large and empirically relevant range of the parameter space.

引用

页码：227 / 248

页数：22

共 14 条

[1]

[Anonymous], 1986, NUMERICAL RECIPES C

[2] ON THE THEORY OF TESTING FOR UNIT ROOTS IN OBSERVED TIME-SERIES [J].