Nonparametric tests for unit roots and cointegration
Nonparametric tests for unit roots and cointegration
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DOI：
10.1016/s0304-4076(01)00139-7
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发表时间：
2002-06-01
影响因子：
6.3
通讯作者：
Breitung, J
中科院分区：
文献类型：
--
作者：
Breitung, J
可以在不指定短期动态的情况下构造单位根检验。这些测试是强大的，对错误的规格和结构突变的短期组件，并可用于测试范围广泛的非线性模型。方差比统计量类似于Kwiatkowski等人（J. Econom. 15（1992）159），但在零假设下假设非平稳性。一个简单的推广的方差比统计量的建议，它可以用来检验协整秩的精神约翰森（J。Control 12（1988）231）。Monte Carlo模拟表明，在样本量足够大的情况下，该检验在线性和非线性模型中表现良好。(C)2002 Elsevier Science B.V.保留所有权利。
It is possible to construct unit root tests without specification of the short-run dynamics. These tests are robust against misspecification and structural breaks in the short-run components and can be used to test a wide range of nonlinear models. The variance ratio statistic is similar to the test statistic suggested by Kwiatkowski et al. (J. Econom. 15 (1992) 159) but assumes nonstationarity under the null hypothesis. A straightforward generalization of the variance ratio statistic is suggested, which can be used to test the cointegration rank in the spirit of Johansen (J. Econ. Dyn. Control 12 (1988) 231). Monte Carlo simulations suggest that the tests perform well in linear and nonlinear models with a sufficiently large sample size. (C) 2002 Elsevier Science B.V. All rights reserved.