Testing for Unit Roots and Cointegration Using Covariates

使用协变量测试单位根和协整

• 批准号: 9412339
• 负责人: Bruce Hansen
• 金额: $ 12.82万
• 依托单位: University of Rochester
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1994
• 资助国家: 美国
• 起止时间: 1994-08-15 至 1998-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9412339&HistoricalAwards=false
• 关键词: Testing; Unit; Roots; Cointegration; Using

9412339 Hansen The most common model used in applied econometrics to study the properties of time series is the "unit root model." A multivariate generalization of univariate unit roots which allows for common unit root components is the model of cointegration. In most applications, testing for unit roots or cointegration are viewed as useful preliminary steps in the building of an empirical models. But in many cases, cointegration emerges as an implication of an economic model and cointegration tests can be used to directly test the model. Examples include studies of the life-cycle model, the present value model of stock prices, real business cycle models, models of the term structure of interest rates, a model of intertemporal consumption, and the long-run money demand function. But unit root and cointegration tests can not be used for many economic applications because they are not powerful enough to discriminate among competing hypotheses given the typical number of observations available in economic data. This project develops a method for increasing the power of unit root and cointegration tests dramatically by using information that is ignored by more conventional methods, generalizes this method to all cases, uses the technique of local-to-unity asymptotics to investigate the adequacy of the asymptotic approximations in finite samples, and reexamines the Nelson- Plosser data set to see if the improved tests can shed light on the stochastic properties of the series.

9412339汉森 应用计量经济学研究时间序列特性时最常用的模型是“单位根模型”。“一元单位根的多元推广允许共同的单位根成分是协整模型。 在大多数应用中，单位根或协整检验被视为建立经验模型的有用的初步步骤。 但在许多情况下，协整作为经济模型的一个含义出现，协整检验可以用来直接检验模型。 例如，生命周期模型、股票价格的现值模型、真实的商业周期模型、利率期限结构模型、跨期消费模型和长期货币需求函数。 但是单位根和协整检验不能用于许多经济应用，因为它们不足以在给定经济数据中可用的典型观测值数量的情况下区分竞争假设。 本计画发展一种方法，借由利用传统方法所忽略的资讯，大幅增加单位根与协整检验的功效，并将此方法推广至所有情形，利用局部至单位渐近性的技巧，研究有限样本下渐近近似的适当性，并重新检查了纳尔逊-普洛瑟数据集，看看是否改进的测试可以揭示的随机性质的系列。