Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions

被引：0

作者：

Wang, Gaowen ^{[1
]}

机构：

[1] Takming Univ Sci & Technol, Dept Banking & Finance, 56,Sec 1,Huanshan Rd, Taipei 11451, Taiwan

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2017年 / 19卷 / 02期

关键词：

Block-sums; Linear process; Size distortion; Unit root; AUTOREGRESSIVE TIME-SERIES; NORMALIZED PARTIAL-SUMS; THEOREM;

D O I：

10.1007/s11009-016-9498-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

It is well-known that the asymptotic distributions of the Dickey-Fuller (DF) tests for a unit root with linear process errors are not free of nuisance parameters. In this paper, we introduce a consistent estimator for the nuisance parameters and then use it to modify the DF tests, denoted as R-tests. Under fairly mild moment and summability conditions on the errors, we show that the asymptotic distributions of the R-tests are of the same as the Dickey-Fuller distributions. In Monte Carlo experiments, the R-tests are shown to have improved size properties.

引用

页码：519 / 538

页数：20

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