Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
复制标题
存在非平稳波动时单位根检验的滞后长度选择
DOI：
10.1080/07474938.2013.808065
复制
发表时间：
2012
影响因子：
1.2
通讯作者：
A. Taylor
中科院分区：
文献类型：
--
作者：
Giuseppe Cavaliere;P. Phillips;Stephan Smeekes;A. Taylor
最近的一些论文集中在单位根的情况下，驱动冲击可能是无条件异方差的测试问题。然而，这些论文已经采取了单位根检验回归的滞后长度是样本大小的确定性函数，而不是数据确定的，后者是标准的经验做法。我们研究了有限样本的影响，无条件异方差对传统的数据依赖的滞后选择方法在增广的Dickey-Fuller型回归，并提出了新的滞后选择标准，允许无条件异方差。标准的滞后选择方法被证明有一种倾向，过度拟合的滞后顺序下的异方差，导致显着的功率损失（野生引导实施）增强的Dickey-Fuller测试下的替代品。所提出的新的滞后选择标准，以避免这个问题，但提供单位根测试与几乎相同的有限样本特性的相应的测试时，传统的滞后选择的冲击是homosedastic。
A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather than data-determined, the latter being standard empirical practice. We investigate the finite sample impact of unconditional heteroskedasticity on conventional data-dependent lag selection methods in augmented Dickey–Fuller type regressions and propose new lag selection criteria which allow for unconditional heteroskedasticity. Standard lag selection methods are shown to have a tendency to over-fit the lag order under heteroskedasticity, resulting in significant power losses in the (wild bootstrap implementation of the) augmented Dickey–Fuller tests under the alternative. The proposed new lag selection criteria are shown to avoid this problem yet deliver unit root tests with almost identical finite sample properties as the corresponding tests based on conventional lag selection when the shocks are homoskedastic.