具有GARCH（1，1）-正态误差项的非对称单位根检验研究

摘　　要:理论研究表明许多经济变量呈现出非对称的门限自回归（TAR）或动态门限自回归（M-TAR）数据生成机制，因而非对称单位根检验就成为该领域的主要研究方向之一。本文对非对称单位根检验Enders-Granger方法在GARCH（1，1）-正态误差项下的检验水平与检验势作了系统的仿真研究。研究表明：GARCH（1，1）-正态误差项的TAR或M-TAR模型会对该方法的检验水平和检验势产生重要影响。

Research on Asymmetric Unit-root Test on a GARCH(1,1) with Normal Errors

Theory studies show that many important economic variables have data generation process of asymmetric threshold autoregressive models or momentum threshold autoregressive models,as a result,the focus of this fields has changed to the asymmetric unit root test.This paper has simulated the test size and test power of Enders-Granger method under GARCH(1,1) with normal errors,and the results of Monte-Carlo simulation show that the GARCH(1,1) with normal errors plays an important role in the test size and test power of Enders-Granger method in a TAR model or M-TAR model.