Ratio tests of a unit root

被引：0

作者：

Nakatsuma, T

Gouskova, E

Uemura, J

Tsurumi, H

机构：

[1] Keio Univ, Dept Econ, Minato Ku, Tokyo 1088345, Japan

[2] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA

[3] Inst Econ Dev, Mihama Ku, Chiba, Chiba 2618545, Japan

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2000年 / 29卷 / 11期

关键词：

unit root; locally best invariant test; point optimal test;

D O I：

10.1080/03610920008832622

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Based on the maximal invariant principle, we derive two ratio tests (locally best invariant test and point optimal test) for a unit root and compare them with previously proposed ratio tests. We also show that our ratio tests tend to have better powers than the Dickey-Fuller test and the modified Dickey-Fuller test.

引用

页码：2547 / 2571

页数：25

共 26 条

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Anderson T. W., 1971, STAT ANAL TIME SERIE

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