Unit root tests and asymmetric adjustment - A reassessment
Unit root tests and asymmetric adjustment - A reassessment
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单位根检验和不对称调整 - 重新评估
DOI：
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
D. Dijk
中科院分区：
文献类型：
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作者：
R. Berben;D. Dijk
标准单位根检验是错误的，如果利益变量是平稳的，但显示出对其长期均衡的不对称调整，因此可能会因为缺乏针对此类替代方案的能力而受到影响。这一观察结果最近引起了人们对开发检验统计量的兴趣，这种统计量可以用来检验单位根的零假设与非对称平差的平稳性替代方案。在本文中，我们重新考虑了Enders和Granger(1998)提出的检验统计学。我们指出了他们测试的一个重要特点，并开发了一个基于更坚实的统计基础的替代测试。蒙特卡洛实验表明，我们的新检验在功率方面优于标准单位根以及Enders和Granger(1998)的检验。本文提供了一个涉及远期保费的经验例证，以证明我们的检验统计量的实际有效性。
Standard unit root tests are misspeciied in case the variable of interest is stationary but displays asymmetric adjustment towards its long-run equilibrium and, consequently , may suuer from a lack of power against such alternatives. This observation recently has aroused interest in developing test statistics which can be used to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. In this paper we reconsider the test statistics put forward by Enders and Granger (1998). We point out an important deeciency of their tests and develop an alternative one which is based on more solid statistical grounds. Monte Carlo experiments demonstrate that our new test outperforms standard unit roots and the tests of Enders and Granger (1998) in terms of power against the alternative of interest. An empirical illustration involving the forward premium is provided to demonstrate the practical usefulness of our test statistic.