Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing*
Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing*
复制标题
线性与对数线性单位根规范：错误规范的应用包括*
DOI：
10.1111/j.1468-0084.2008.00532.x
复制
发表时间：
2008
影响因子：
2.5
通讯作者：
Spanos A
中科院分区：
文献类型：
--
作者：
Spanos A
本文的目的是应用错误规范（M-S）包含的角度来选择线性和对数线性单位根模型之间的问题。一个简单的M-S包含测试，基于一个辅助回归源于条件二阶矩，提出了其经验的大小和权力进行了研究，使用Monte Carlo模拟。结果表明，通过关注条件过程，相关统计量的抽样分布在零假设和备择假设下都表现良好。使用美国总可支配收入季度数据说明了拟议的M-S包含检验。
The objective of this paper is to apply the mis‐specification (M‐S) encompassing perspective to the problem of choosing betweenlinearandlog‐linearunit‐root models. A simple M‐S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. It is shown that by focusing on the conditional process the sampling distributions of the relevant statistics are well behaved under both the null and alternative hypotheses. The proposed M‐S encompassing test is illustrated using US total disposable income quarterly data.