CAJ | 학술논문

Perron检验是一种考虑结构突变的单位根检验方法，检验统计量的分布依赖于数据生成过程中所包含的确定性趋势和所选取的检验回归式；而在实证分析中真实的数据生成过程是未知的，这使得单位根检验缺乏必要依据，因而探寻科学有效的单位根检验程序是受到广泛关注的问题。基于此，本文在“IO模型”分析框架下，依据Perron检验提出了一套考虑结构突变的单位根检验程序，并通过蒙特卡洛模拟分析了该程序在有限样本情形下的表现。本研究完善了带有结构突变的单位根检验理论，为实证分析提供了有益的建议和参考。
Perron검험시일충고필결구돌변적단위근검험방법，검험통계량적분포의뢰우수거생성과정중소포함적학정성추세화소선취적검험회귀식；이재실증분석중진실적수거생성과정시미지적，저사득단위근검험결핍필요의거，인이탐심과학유효적단위근검험정서시수도엄범관주적문제。기우차，본문재“IO모형”분석광가하，의거Perron검험제출료일투고필결구돌변적단위근검험정서，병통과몽특잡락모의분석료해정서재유한양본정형하적표현。본연구완선료대유결구돌변적단위근검험이론，위실증분석제공료유익적건의화삼고。
Perron test is one of the methods for unit root test allowing for structural break, and the distributions of the test statistics are dependent on the deterministic trends included in data generated process （DGP） and selected regression. However, the real DGP is unknown in process of the empirical analysis, which leads to no base for unit root test. So it is urgent to search a scientific and effective procedure for unit root test. For this reason, with the analytic frame of ＂Innovational Outlier model＂ and based on Perron test, the paper proposes a procedure for unit root test with structural break and examines the properties of the procedure with finite sample by Monte Carlo simulations, which complements and completes the theories about unit root test with structural break and provides helpful advices and references for empirical analysis.