| Ye Zongyu.Alternative Methods of ADF Unit Root Test Method[J].The Journal of quantitative and technical economics,2017,(6):148-161 |
| ADF单位根检验法的替代方法 |
| Alternative Methods of ADF Unit Root Test Method |
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| DOI： |
| 中文关键词: 单位根 ADF检验 消除趋势法 检验功效 |
| 英文关键词: Unit Root ADF Test Detrending Method Test Power |
| 基金项目:本文获得国家自然科学基金项目“面向全球战略的制造业创新型人才开发机制与行动策略模式：基于长三角汽车业的实证研究”（71472170）的资助。 |
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| 中文摘要: |
| 研究目标：ADF单位根检验法的替代方法——消除趋势检验法。研究方法：通过蒙特卡罗仿真估算了消除趋势法、ADF法和差分法的检验临界值和检验功效；估算了三种方法检验临界值关于样本容量的响应面函数；估算了消除趋势回归中趋势项和截距项的t统计量的检验临界值及其响应面函数。研究发现：在各种情形下，消除趋势法的检验功效均大于ADF法，而且在误差项相关时更为明显，说明消除趋势法优于ADF法，可以完全替代ADF法；在某些情况下，差分法的检验功效较大。研究创新：对ADF检验模型进行了改进，提出了消除趋势检验法。研究价值：在单位根检验时，可以用消除趋势法代替一直以来被广泛采用的ADF法，提高单位根检验的功效。 |
| 英文摘要: |
| Research Objectives：Alternative methods of ADF unit root test method,the detrending test method.Research Methods:The test critical value and the test power of the ADF method,the detrending method and the difference method are calculated by Monte Carlo simulation.The responding surface functions of the test critical value depending on the critical value are estimated.The test critical value of t statistic and its responding surface functions in the regression eliminating the trends are estimated.Research Findings:In all circumstances,the test power of the detrending method is greater than the ADF method’s,and when the errors are correlated,the advantage is more obvious.So the detrending method is superior to the ADF method and can completely replace the ADF method.In some cases,the test power of the difference method is greater than others.Research Innovations:The ADF test model is improved,and the detrending test method is put forward.Research Value:In the unit root test,the detrending test method can improve the efficiency of unit root test |
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