带漂移项的DF检验式中漂移项t统计量的分布特征研究  

Distribution of the T-statistic of the Drift in DF Test Model with Drift

作　　者：张晓峒[1] 

机构地区：[1]南开大学,天津300071

出　　处：《商业经济与管理》2006年第7期3-7,共5页Journal of Business Economics

基　　金：国家社会科学基金项目资助(03BJY014)

摘　　要：本文推导了带漂移项的DF检验式中漂移项的t统计量的极限分布,它们是Wiener过程的泛函。并用蒙特卡罗模拟方法给出该统计量的估计分布。该分布是双峰的,分布方差比t分布的大。依据模拟结果,估计出该分布的6个百分位数对样本容量的响应面函数,并给出带漂移项的DF检验式中漂移项是否为零的检验用表。In this paper, we derive the limit distributions of the t - statistic of the drift in DF test model with drift, which are the functions of Wiener process, and show the estimated distribution of the t - statistics with finite samples by Monte Carlo simulation method. The distributions are bi - modal. The variances of the distributions are much larger than that of the student t - statistics. Based on the simulation results, we present the response surface functions of the eight percentiles of the t - statistics and the significant test table for the drift in DF test model.

关 键 词：单位根检验 WIENER过程 蒙特卡罗模拟 响应面函数 

分 类 号：F224.0[经济管理—国民经济]