Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions

被引：0

作者：

Gaowen Wang

机构：

[1] Takming University of Science and Technology,Department of Banking and Finance

来源：

Methodology and Computing in Applied Probability | 2017年 / 19卷

关键词：

Block-sums; Linear process; Size distortion; Unit root; 62M10; 62P20; 91B84;

D O I：

暂无

中图分类号：

学科分类号：

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：19

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