最优滞后长度与ADF检验性质研究及其应用  

Optimal Lag Length and Augmented Dickey-Fuller Test Performance: Research and Application

作　　者：邓露[1] 

机构地区：[1]中央财经大学统计学院,北京100081

出　　处：《统计与信息论坛》2010年第9期20-24,共5页Journal of Statistics and Information

摘　　要：从理论上对ADF检验中滞后长度应满足的上、下界条件,各种滞后长度选择方法及其对ADF检验性质的影响进行了总结。在此基础上,基于信息准则、修正的信息准则以及一般到特殊法对欧洲6国的CPI指数进行了单位根检验,研究发现:实践中ADF检验对于滞后长度的选择非常敏感,表现为对不同指数进行检验时选择的滞后长度往往不同,且同一指数运用不同方法时确定的滞后长度也不同,进而导致ADF统计推断得到互相矛盾的结论。This paper carries out a research on the upper and lower-bound condition the lag length should satisfy in ADF test,the lag length selection methods and their affection on ADF test performance.In addition,ADF tests are performed on CPI index of six European countries based on Information Criteria,Modified Information Criteria and General to Specific method respectively.It finds out that ADF statistical inference is very sensitive to the lag length in practice.The lag length varies among different index,and among selection methods for the same index,which leads to contract conclusion for ADF test.

关 键 词：ADF检验 最优滞后长度 信息准则 修正的信息准则 从一般到特殊法 

分 类 号：F224.0[经济管理—国民经济]