CAJ | 학술논문

经济理论认为许多经济变量具有非对称的阈值自回归调整行为，而标准的单位根检验ADF和PP法都是基于线性自回归模型而构造的，因此对非对称单位根检验并不适用。本文应用Monte-Carlo模拟方法对ADF和PP检验在TAR与M-TAR模型下的检验势进行系统研究，并对模拟结果的产生原因进行了深入分析。模拟结果表明：数据的非对称性程度和数据的均值回复时间是影响ADF和PP检验的最主要因素；当非对称性增强和均值回复时间增大时，ADF和PP的检验势都具有较大幅度的下降，但是PP比ADF法具有更大程度的下降。
경제이론인위허다경제변량구유비대칭적역치자회귀조정행위，이표준적단위근검험ADF화PP법도시기우선성자회귀모형이구조적，인차대비대칭단위근검험병불괄용。본문응용Monte-Carlo모의방법대ADF화PP검험재TAR여M-TAR모형하적검험세진행계통연구，병대모의결과적산생원인진행료심입분석。모의결과표명：수거적비대칭성정도화수거적균치회복시간시영향ADF화PP검험적최주요인소；당비대칭성증강화균치회복시간증대시，ADF화PP적검험세도구유교대폭도적하강，단시PP비ADF법구유경대정도적하강。
Economic theory often predicts that some economic variables display asymmetric threshold autoregressive adjustments towards their long-run equilibrium, but standard ADF and PP test methods are misspecified in this case, consequently, may suffer from a lack of power against such alternatives. This paper aims to study the power of ADF and PP against such alternatives as TAR or M-TAR, and analyse some reasons for that. Mont-Carlo experiments demonstrate that the Asymmetry and mean-reversion of the data plays a important role in the power of ADF and PP methods ; and when the Asymmetry and mean-reversion is very strong, the power of ADF and PP test falls dramatically, but the PP method is less powerful than the ADF test.