单位根检验中的误检验——以我国年发电量时间序列为例  

The Wrong Test for Unit Root Test

作　　者：吴翔[1] 

机构地区：[1]东北电力大学经济管理学院,吉林吉林132012

出　　处：《东北电力大学学报》2008年第1期41-44,共4页Journal of Northeast Electric Power University

摘　　要：由于虚假回归问题的存在,在回归模型中应避免直接使用不存在协整关系的非平稳变量,所以检验变量的平稳性是必须解决的问题。以1970～2006年期间我国年发电量的时间序列为例,从单位根检验的基本方法,如ADF检验和PP检验和基本检验步骤入手,分析了导致单位根"伪检验"的三种常见错误类型,并在此基础上提出了在单位根检验过程中应注意的基本事项。Since the existence of a spurious regression, it is necessary to test the stability of the variables in order to avoid direct use non-stationary variables which does not exist cointegration relations. Based on the unit root test basic methods, such as ADF test and PP test, this paper analyzes several common mistakes in the course of unit root test on the base of China＇ s annual electricity consumption during 1970-2006. On this basis, we give some advices for the basic issues in the unit root test process .

关 键 词：单位根 伪检验 我国年发电量 

分 类 号：F224.0[经济管理—国民经济]