带高次趋势项的ADF单位根检验  

ADF Unit Root Test with High Order Trend Term

作　　者：左秀霞[1] Zuo Xiuxia(School of Finance & Economics,Jiangsu University)

机构地区：[1]江苏大学财经学院

出　　处：《数量经济技术经济研究》2019年第1期152-169,共18页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目"环境公正视角下区域环保投入机制及联动投入策略研究"(71503105);"受约束的参数和半参数回归模型的有偏估计;检验及应用研究"(11501254);江苏大学高级技术人才科研启动基金项目"基于变结构协整检验的我国消费函数研究"(12JDG131);江苏省统计应用基地项目"基于结构突变的江苏省能源消费与经济增长关系研究"(2014JD03)的资助

摘　　要：研究目标:探讨带高次趋势项的ADF单位根检验。研究方法:构造了带高次趋势项ADF检验中的单位根检验、联合F检验和高次趋势项系数检验的统计量,推导了其渐近分布;用蒙特卡罗仿真获得了渐近分布的临界值。研究发现:本文的讨论涵盖了传统ADF检验的三种情形,发现单位根检验的渐近分布可表示为统一的函数形式。仿真发现,单位根检验和联合F检验的渐近分布分别向左和向右平移,高次趋势项系数检验的渐近分布向两侧延伸,且随趋势项阶数增加,平移幅度增大,延伸幅度缓慢增大。研究创新:改进了传统ADF检验,提出了针对含高次趋势序列的单位根检验方法。研究价值:扩展单位根检验在高次趋势方面的理论,为含高次趋势序列平稳性分析提供理论支持。Research Objectives: This paper explores the ADF unit root test with high order trend term.Research Methods: This paper has constructed the test statistics of unit root test, joint F test and high order trend term coefficient test in ADF unit root test with high order trend term.The asymptotic distribution of these three test statistics is derived then.Finally, their critical values are obtained by Monte Carlo simulationResearch Findings: The test in this paper are conducted in the three test types in traditional ADF unit root test, it is found that the asymptotic distribution of unit root test can be expressed as an uniform function.Monte Carlo Simulation results indicate that the asymptotic distribution of unit root test and joint F test shifts left and right respectively, the asymptotic distribution of high order trend term coefficient test extends to both sides.With the increase of the trend term's order, the range of the asymptotic distribution's shift increases and that of the asymptotic distribution's extension increases slowly.Research Innovations: The traditional ADF unit root test has been improved and a new unit root test method which can be used for the test of series with high order trend is proposed.Research Value: This paper extends the theory of unit root test in high order trend and provides theoretical support of stationary analysis of series with high order trend.

关 键 词：单位根 ADF检验 高次趋势 渐近分布 临界值 

分 类 号：F224.0[经济管理—国民经济]