CAJ | 학술논문

依次检验策略是实施单位根检验的重要途径，但该策略并没有考虑低检验功效的影响。本文通过Monte Carlo实验，模拟了依次检验策略中的检验功效，发现在样本容量较小的情况下，该检验具有很低的检验功效。另外，本文从理论上分析了产生低功效的原因，并对该策略提出了改进。最后，采用改进后的检验策略，通过对上证综合指数序列的单位根检验验证了改进后策略的有效性。
의차검험책략시실시단위근검험적중요도경，단해책략병몰유고필저검험공효적영향。본문통과Monte Carlo실험，모의료의차검험책략중적검험공효，발현재양본용량교소적정황하，해검험구유흔저적검험공효。령외，본문종이론상분석료산생저공효적원인，병대해책략제출료개진。최후，채용개진후적검험책략，통과대상증종합지수서렬적단위근검험험증료개진후책략적유효성。
The sequential testing strategy is an important approach for testing unit roots in time series, but the lower test power is not concerned about. This paper evaluates the test power under the sequential testing strategies by Monte Carlo simulation experiments. The results show that unit root test has low power when the size of sample is small. In addition, we explore the theoretical reasons of the low test power and present an improved sequential testing strategy. Finally, using improved sequential testing strategy, the testing for unit roots in Shanghai composite index series is performed, and the result shows that our strategy is effective.