The power of the ADF test
The power of the ADF test
复制标题
DOI：
10.1016/s0165-1765(97)81872-1
复制
发表时间：
1997-11-28
影响因子：
2
通讯作者：
Lopez, JH
中科院分区：
文献类型：
--
作者：
Lopez, JH
当数据中存在 MA 误差项时，Dickey-Fuller 检验的渐近分布是在备择假设下导出的。研究发现，渐进 t 统计量不受备择假设与原假设之间距离的影响，相关的是样本量 (T) 与自回归阶数 (m) 的比率。 (C) 1997 Elsevier Science S.A.
The asymptotic distribution of the Dickey-Fuller test is derived under the alternative hypothesis when MA error terms are present in the data. It is found that the asymptotic t statistic is not affected by the distance between the alternative and the null hypothesis and what is relevant is the ratio of the sample size (T) to the order of the autoregression (m). (C) 1997 Elsevier Science S.A.