单发线性结构突变对DF单位根检验的影响分析--“Perron现象”的进一步研究  

Effect of Structural Break on DF Unit Root Test——Further Research on the "Perron Phenomenon"

作　　者：聂巧平[1] 叶光[2] 

机构地区：[1]天津商业大学经济学院讲师 [2]河南财经学院讲师

出　　处：《统计研究》2008年第9期71-79,共9页Statistical Research

基　　金：天津市哲学社会科学研究规划资助项目(项目编号:TJTJ07-005)的部分研究成果

摘　　要："Perron现象"是指当真实的数据生成过程为带有结构突变的(趋势)平稳过程时,传统的DF单位根检验易将其误判为单位根过程。本文考虑了水平突变、截距突变、斜率突变以及截距与斜率双突变等四种突变情形下DF统计量的检验功效,推导了前两种突变情形下DF统计量的渐近分布,并对四种突变情形下DF统计量的有限样本性质进行了探讨。本研究是对"Perron现象"的进一步深入分析,也是对DF单位根检验的进一步补充和完善。＂Perron Phenomenon＂ is that the conventional DF unit root tests incorrectly tend to conclude the unit root process which actually is a trend stationary process with a structural break. This article considers the following four types of structural breaks, i.e. level shift, intercept shift, slope shift, mixed shifts with intercept and slope. We deduce the asymptotic distributions of the level shift and intercept shift, and then analyze the characters in finite sample of the four types of structural breaks by Monte Carlo simulations. The article is the further research on the ＂Perron Phenomenon＂ and the more complementarity for DF unit root test.

关 键 词：结构突变 单位根检验DF统计量 蒙特卡罗模拟 检验功效 

分 类 号：C812[社会学—统计学]