ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
复制标题
季节性单位根的 PHILLIPS-PERRON 型检验
作者：
Jörg Breitung;P. Franses
在这篇文章中，我们考虑了Hylleberg，Engle，Granger和Yoo(1990，Journal of Economrics 44,215-238)提出的季节性单位根检验的半参数版本。渐近理论基于对一个简单回归问题的分析，其结果适用于在(0，π]范围内的任何给定频率下的测试。蒙特卡洛模拟表明，该检验可能比Hylleberg等人的参数检验具有更大的威力。(1990年)。另一方面，半参数版本在某些情况下存在严重的尺寸失真。
In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.