本文選題：單位根檢驗 + 功效�。� 參考：《統(tǒng)計與信息論壇》2016年05期

【摘要】：通過推導(dǎo)Dickey-Fuller檢驗功效函數(shù),研究表明:即使中小型的傅里葉型結(jié)構(gòu)突變,都會嚴(yán)重影響Dickey-Fuller檢驗的功效,從而使得含傅里葉型平滑結(jié)構(gòu)突變的平穩(wěn)過程被誤判為單位根過程。使用3、6、9個月期和一年期Shibor日度數(shù)據(jù)發(fā)現(xiàn):傳統(tǒng)的ADF、PP、DF-GLS和KPSS幾乎都指出Shibor是單位根過程;考慮平滑結(jié)構(gòu)突變的單位根檢驗則在1%的顯著性水平下拒絕了單位根的原假設(shè),這表明Shibor是含結(jié)構(gòu)突變的平穩(wěn)過程。因此,預(yù)測Shibor和理解其動態(tài)行為必須考慮其結(jié)構(gòu)突變特征。
[Abstract]:By deducing the function function of Dickey-Fuller test, it is shown that even small and medium-sized Fourier structure mutations will seriously affect the efficacy of Dickey-Fuller test, thus making the smooth process with Fourier smooth structure mutation misjudged as unit root process.Using Shibor daily data of 3 ~ 6, 9 months and 1 year, it was found that the traditional ADF PPP DF-GLS and KPSS all pointed out that Shibor is a unit root process, whereas the unit root test considering smooth structural mutation rejected the original hypothesis of unit root at the level of 1% significance.This indicates that Shibor is a stationary process with structural changes.Therefore, to predict Shibor and understand its dynamic behavior must consider its structural mutation characteristics.
【作者單位】： 西北民族大學(xué)經(jīng)濟(jì)學(xué)院;蘭州大學(xué)管理學(xué)院;臺灣中山大學(xué)經(jīng)濟(jì)研究所;
【基金】：中央高�；究蒲袠I(yè)務(wù)費專項資金項目《考慮結(jié)構(gòu)突變的計量預(yù)測方法及其應(yīng)用》(31920150119)
【分類號】：F832.33;F224
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本文編號：1739101