平滑转换自回归模型的单位根检验问题研究

 内容提要：针对非线性模型的单位根检验中存在的问题，本文认为非线性模型的单位根检验不应该在AR模型中进行，而应该在非线性模型中进行。以LSTAR(1)模型为例，本文给出了在其中进行单位根检验的统计量及其临界值。用蒙特卡洛试验证实，本文提出的单位根检验统计量的功效明显高于DF单位根检验，只有当非平稳特征十分明显时，DF检验才能检测出其中的单位根，因此，在非线性模型中进行单位根检验是必要的。

Research on the Unit Root Test in the Smooth Transition Autoregressive Model

For the problems of the unit root test in the nonlinear model,we think that the unit root tests of the nonlinear model should not be carried out in the AR model,but should be carried out in nonlinear model.Using LSTAR(1)model as an example,we give the unit root test statistic and its critical value.The Monte Carlo tests confirm that the effect of the proposed unit root test statistic is significantly higher than that of DF unit root test,and only when the non-stationary feature is very obvious,DF tests can ...