| ADF模式中漂移项和趋势项检验量分布与Bootstrap检验研究 |
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| 引用本文： | 江海峰,;陶长琪,;陈启明.ADF模式中漂移项和趋势项检验量分布与Bootstrap检验研究[J].统计与信息论坛,2014(6):3-10. |
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| 作者姓名： | 江海峰 ;陶长琪 ;陈启明 |
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| 作者单位： | [1]安徽工业大学商学院,安徽马鞍山243002; [2]江西财经大学信息管理学院,江西南昌330013 |
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| 基金项目： | 国家社会科学基金项目《基于Bootstrap方法下单位根检验研究》（13BJY011） |
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| 摘 要： | 在推导ADF检验模式下趋势项和漂移项伪t检验量极限分布基础上,提出修正的系数检验量。研究表明,它们与DF检验模式下检验量具有相同的极限分布;构造漂移项和趋势项检验的Bootstrap实现方法并证明了有效性。将蒙特卡洛模拟技术与临界值检验方法进行对比,结果表明Bootstrap方法能够明显降低检验的水平扭曲,在检验功效方面也有一定优势。模拟也显示临界值检验的局限性和Bootstrap方法的稳健性。
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| 关 键 词： | 单位根检验 漂移项 趋势项 Bootstrap检验 蒙特卡洛模拟 |
Distribution of Statistics of Drift and Time Trend under ADF Mode and Bootstrap Test |
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| Institution: | JIANG Hai-feng, TAO Chang-qi, CHEN Qi-ming (1. School of Business, Anhui University of Technology, Ma＇anshan 243002, China; 2. School of Information and Management, Jiangxi University of Finance and Economics, Nanehang 330013, China) |
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| Abstract: | The paper first derives the limit distribution of pseudo t test for drift and trend based on ADF test mode ,and brings forward the modified coefficient test .Results show these tests share the same limit distribution with the DF test mode .Then the Bootstrap test and its validity for drift and trend is given and testified . Results from Monte Carlo Simulation indicate that the Bootstrap method can significantly reduce the size distortion and also has certain advantages in test power over critic value method .Simulation also show s the limitation of the critic value method and the robustness of the Bootstrap method . |
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| Keywords: | unit root test drift trend Bootstrap test Monte Carlo simulation |
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