Alternative methods of detrending and the power of unit root tests

被引：15
|
作者：
Hwang, JY
Schmidt, P
机构：
[1] MICHIGAN STATE UNIV,DEPT ECON,E LANSING,MI 48824
[2] SSANGYONG CEMENT IND CO,SEOUL,SOUTH KOREA
来源：
JOURNAL OF ECONOMETRICS | 1996年 / 71卷 / 1-2期
关键词：
unit root; Dickey-Fuller test; point optimal test;
D O I：
10.1016/0304-4076(94)01702-6
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper suggests unit root tests based on detrending the series by a GLS regression, using an empirically plausible value of the autoregressive root. These tests are related to the point optimal tests of Dufour and King. Monte Carlo experiments show a clear gain in power, relative to other unit root tests such as the Dickey-Fuller tests, over a large and empirically relevant range of the parameter space.
引用
收藏
页码：227 / 248
页数：22
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