中值无偏修正的预白化HAC法在伪回归中的应用  

The modified prewhitening HAC methods using median-unbiased estimation in spurious regression

作　　者：刘汉中 刘广 LIU Hanzhong,LIU Guang(School of Economics and Statistics, Guangzhou University, Guangzhou 510006, Chin)

机构地区：[1]广州大学经济与统计学院

出　　处：《系统工程理论与实践》2018年第5期1310-1320,共11页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(11BJY012)~~

摘　　要：传统预白化HAC法存在有限样本偏差,使得平稳过程之间回归时存在伪回归.本文利用一阶和高阶的中值无偏估计对传统预白化HAC进行修正,通过修正的预白化HAC对t统计量标准误进行调整,从而进一步研究其在平稳过程之间伪回归中的适用性.研究表明：第一,中值无偏修正的预白化HAC法能减少长期方差的有限样本偏差并能降低伪回归概率;第二,修正的预白化HAC对持久性、GARCH类异方差和非正态随机新息等都具有稳健性.It is known that the traditional prewhitening heteroscedasticity-autocorrelation consistent（HAC） methods have finite sample bias, leading to a spurious regression between stationary processes.This paper proposes a modified prewhitening HAC method by the first-order and higher-order medianunbiased estimation, and adjusts the standard error of t-statistics in OLS estimation through the modified prewhitening HAC methods, and reveals their applicability in spurious regression probability between stationary processes. The result shows that： first, the modified prewhitening HAC methods can reduce finite sample bias in long-run variance estimation; second, the modified HAC methods have a robustness property to persistence of data process, GARCH heteroscedasticity and non-normal innovations.

关 键 词：预白化HAC法 中值无偏估计 伪回归 稳健性 

分 类 号：O212[理学—概率论与数理统计]