TESTING FOR UNIT ROOTS USING FORWARD AND REVERSE DICKEY‐FULLER REGRESSIONS
TESTING FOR UNIT ROOTS USING FORWARD AND REVERSE DICKEY‐FULLER REGRESSIONS
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使用正向和反向迪基富勒回归检验单位根
DOI：
10.1111/j.1468-0084.1995.tb00040.x
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发表时间：
1995
影响因子：
2.5
通讯作者：
S. Leybourne
中科院分区：
文献类型：
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作者：
S. Leybourne
本文针对一个过程包含单位根的原假设，相对于（趋势）平稳的备择假设，提出了一种简单的检验方法。它基于对正向和反向数据实现应用标准迪基 - 富勒检验时的最大值。因此，它不需要特殊的计算，并且可以很容易地从大多数现有的计量经济学软件包中计算出来。通过蒙特卡罗模拟列出了最大检验的原分布，并且证明它比标准迪基 - 富勒检验在拒绝单位根的错误原假设方面具有更强的功效。还表明这些检验具有非常相似的稳健性。当应用于一些著名的美国宏观经济时间序列时，新检验比通常的迪基 - 富勒检验更频繁地拒绝单位根假设。版权所有1995，布莱克威尔出版有限公司
This article suggests a simple test for the null hypothesis that a process contains a unit root against a (trend) stationary alternative. It is based on the maximum value of the standard Dickey-Fuller tests when applied to both the forward and reverse data realizations. Thus, it requires no special computation and can easily be calculated from most existing econometric software packages. The null distribution of the maximum test is tabulated using Monte Carlo simulation and it is demonstrated to have considerably more power to reject the false null of a unit root than the standard Dickey-Fuller test. The tests are also shown to share very similar robustness properties. When applied to a number of well known U.S. macroeconomics time series, the new test rejects the unit root hypothesis more frequently than does the usual Dickey-Fuller test. Copyright 1995 by Blackwell Publishing Ltd