CAJ | 학술논문

Kapetanios等提出在指数平滑转换自回归（ESTAR）模型框架下进行单位根检验．他们的检验是基于误差项为独立同分布的强假设下得到的，该假设在现实中很难成立．当误差项为平稳弱相依时，该检验统计量的极限分布包含冗余参数．通过构造修正的KSS检验，得到了不包含冗余参数的检验统计量．蒙特卡罗模拟结果表明该修正的统计量大大减少了序列相关性带来的水平扭曲（sizedistortion），且该检验统计量对于非线性平稳过程的检验功效高于PP检验．将该检验用于中国的通货膨胀率，发现它存在着一个单位根，是非平稳过程．
Kapetanios등제출재지수평활전환자회귀（ESTAR）모형광가하진행단위근검험．타문적검험시기우오차항위독립동분포적강가설하득도적，해가설재현실중흔난성립．당오차항위평은약상의시，해검험통계량적겁한분포포함용여삼수．통과구조수정적KSS검험，득도료불포함용여삼수적검험통계량．몽특잡라모의결과표명해수정적통계량대대감소료서렬상관성대래적수평뉴곡（sizedistortion），차해검험통계량대우비선성평은과정적검험공효고우PP검험．장해검험용우중국적통화팽창솔，발현타존재착일개단위근，시비평은과정．
Kapetanios et al.[1] propose a unit root test in the ESTAR framework. The KSS test relies on the i.i.d, assumption for the error term, which is very restrictive in application. When the error term is stationary and weakly dependent, the limiting distribution of the KSS test statistic is not nuisance parameter free. The proposed modified KSS test is nuisance parameter free, and Monte Carlo simulation results suggest the modified statistic reduce the size distortion due to serial correlation in error term, and the power of the test statistic is higher than PP test. Applying the test on China＇s inflation rate suggests it＇s a unit root nonstationary process.