单位根过程与分整过程间变化变点的Sieve Bootstrap检验  

Sieve Bootstrap Test for Changes between Unit Root Process and Fractional Integrated Processes

作　　者：何明灿 付国龙 

机构地区：[1]青海师范大学数学与统计学院,青海西宁

出　　处：《统计学与应用》2018年第2期111-116,共6页Statistical and Application

基　　金：国家自然科学青年基金(11301291,11661067);青海省自然科学基金(2015-ZJ-717)。

摘　　要：本文基于Dickey-Full比率统计量研究了从单位根过程向分整过程变化变点,以及从分整过程向单位根过程变化变点的检验问题,并提出了用于确定检验统计量临界值的Sieve Bootstrap方法,数值模拟结果表明本文方法在单位根及分整过程原假设下都能很好的控制检验水平,在变点位置不是太靠后时,对两种备择假设下的变点都有较高的检验势,且在检验从单位根过程向分整过程变化变点时效果更显著。This paper aimed to test change point from unit root process to fractional integrated process as well as fractional integrated process to unit process via a Dickey-Full ratio statistic. A Sieve Bootstrap method was proposed to determine the critical values. Simulations indicate that our proposed method can control the empirical size well both under the unit root and fractional integrated process null hypotheses, and gives satisfy empirical powers under two alternative hypotheses if the change point location does not too back. Furthermore, Dickey-Full ratio statistic has better performance when detecting those changes which from unit root process to fractional integrated process.

关 键 词：单位根过程 分整过程 变点 SIEVE BOOTSTRAP 

分 类 号：F2[经济管理—国民经济]