CAJ | 학술논문

本文发现Perron于1989年的研究在趋势突变情形下的结论“统计量T（a-1）的极限分布会随着突变点位置参数的变化收敛在0～0．5”值得商榷。其原因在于模型设定中出现了错误，导致在结构突变的趋势平稳过程的数据生成过程中，统计量T（a-1）的极限分布在截距突变的情况下发散，而在斜率突变的情况下退化。本文对其进行修正并补充推导了三种含结构突变的趋势平稳过程的单位根检验统计量的分布，并给出能够证实和证伪的蒙特卡洛模拟结果。
본문발현Perron우1989년적연구재추세돌변정형하적결론“통계량T（a-1）적겁한분포회수착돌변점위치삼수적변화수렴재0～0．5”치득상각。기원인재우모형설정중출현료착오，도치재결구돌변적추세평은과정적수거생성과정중，통계량T（a-1）적겁한분포재절거돌변적정황하발산，이재사솔돌변적정황하퇴화。본문대기진행수정병보충추도료삼충함결구돌변적추세평은과정적단위근검험통계량적분포，병급출능구증실화증위적몽특잡락모의결과。
We find that the conclusion of Perron （1989）, which said that the statistics T（a - 1）＇ s limit distribution converge to an interval between 0 and 0.5 for different position of the parameter of structural break under trend break, is debatable. The reason is that a mistake in the model setting which leads to the limit distribution of the statistics T（a--1） volatilization when intercept break or degeneration when trend break under the data generating process of trend stationary process with structural break. So we correct this mistake and supplement this conclusion with unit root test on three kinds of the trend stationary process with structural break and Monte Carlo simulations which support our findings.