Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis
题目 :Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis
作者 :
Lixiong Yang (兰州大学 /Lanzhou University )
Chingnun Lee (中山大学 /National Sun Yat-sen University )
Jen-Je Su (格里菲斯大学/Griffith University)
期刊: Economics Letters(影响因子0.558)
Volume 159, October 2017, Pages 128-133
英文摘要 :
We derive the null asymptotic distribution of the standard Dickey–Fuller test with the existence of an unnoticed Fourier component. The so-called converse Perron phenomenon might occur, but only in the trend-case with a low-frequency Fourier component and small error variance.
中文摘要 :
由于虚假回归问题,对时间序列变量进行回归分析前,需要进行单位根检验。本文考察真实数据生成过程是含傅里叶型结构突变的单位根过程时, Dickey-Fuller 检验的行为。研究表明:在某些条件下, Dickey-Fuller 检验存在严重的“逆 Perron现象” ,即单位根过程会被误判为平稳过程。
网址链接: http://www.sciencedirect.com/science/article/pii/S0165176517302963
doi: https://doi.org/10.1016/j.econlet.2017.07.016