二阶单整过程单位根检验统计量分布与仿真研究  

Statistic Distribution and Simulation Analysis for Unit Root Test with I(2) Variable

作　　者：江海峰[1] 庄健[1] JIANG Haifeng ZHUANG Jian(School of Business, Anhui University ofTechnology, Ma＇anshan 243032, Chin)

机构地区：[1]安徽工业大学商学院,安徽马鞍山243032

出　　处：《安徽工业大学学报（自然科学版）》2017年第1期76-81,共6页Journal of Anhui University of Technology（Natural Science）

基　　金：国家社会科学基金项目(13BJY011);安徽省高校优秀青年人才计划重点项目(gxyqZD2016063)

摘　　要：利用理论证明和蒙特卡洛模拟方法,研究数据生成为二阶单整过程时,经典单位根DF检验统计量分布,并考察误用临界值时检验效果。理论推导表明,在原假设成立时,检验统计量分布在大样本下收敛到维纳过程的泛函,但与经典单位根检验统计量分布不同。模拟结果显示,虽然临界值存在明显差异,但系数检验统计量具有满意的检验效果,伪t检验统计量检验效果取决于模型设置形式。因此,经典单位根检验统计量的临界值可以检验二阶单整过程,但应该综合利用两类检验统计量而不能仅使用伪t检验统计量。Based on the theoretical derivation and Monte Carlo simulation, the statistics distribution of classical DF test with I（2） variable were studied, and the test effect was examined when the critical value was misused. The theoretical research shows that these test statistics converge in large samples to the function of Wiener process under the null hypothesis, which are different from the classical unit root test statistics. The simulation result indicates that, though the critical value is obviously different, the coefficient test statistic has a satisfactory effect, while the test results of the pseudo ttest statistic depend on the test configuration. It is concluded that the statistic critical value of the classical unit root test can be used to test the I（2） variable, but it should be combined with the two kinds of test statistics rather than the pseudo t test statistics itself.

关 键 词：单整过程 单位根 DF检验 蒙特卡洛模拟 

分 类 号：O211.6[理学—概率论与数理统计] F224.0[理学—数学]