CAJ | 학술논문

本文引入局部趋势概念,研究数据生成和检验式都含有趋势单位根过程中伪t检验量的分布,结果表明该分布为标准正态分布与第四种DF分布的混合体,并揭示了向这两类分布转化的条件。为摆脱伪t检验量受到特定参数约束而不能用于实证分析的困境,本文提出了Bootstrap检验方法,并从理论上证明该方法可用于水平检验和功效研究,埃奇沃思展开进一步证实该方法能够降低水平扭曲。蒙特卡洛模拟结果显示,Bootstrap检验量具有最高检验正确率,检验功效在一定条件下也能与标准正态分布的检验结果相媲美,说明Bootstrap方法可以用于此类模型的单位根检验。
본문인입국부추세개념,연구수거생성화검험식도함유추세단위근과정중위t검험량적분포,결과표명해분포위표준정태분포여제사충DF분포적혼합체,병게시료향저량류분포전화적조건。위파탈위t검험량수도특정삼수약속이불능용우실증분석적곤경,본문제출료Bootstrap검험방법,병종이론상증명해방법가용우수평검험화공효연구,애기옥사전개진일보증실해방법능구강저수평뉴곡。몽특잡락모의결과현시,Bootstrap검험량구유최고검험정학솔,검험공효재일정조건하야능여표준정태분포적검험결과상비미,설명Bootstrap방법가이용우차류모형적단위근검험。
This paper first introduces the concept of local trend and analyzes the distribution of pseudo t statistics for the testing model which is the same as the data generating process,that is,produced by unit root process with trend,concluding that this is a mixture of standard normal distribution and the fourth dickey-fuller distribution,and the conditions converting to these two distributions are also proposed. Meanwhile,to avoid the plight that the pseudo t statistics can not be applied to empirical research due to its constraints to specific parameters,we offer the Bootstrap method and testify its validity for size and power research as well as the Edgeworth expansion is used to confirm its superiority to reduce the size distortion. Finally,we conduct the Monte Carlo simulation,and the results show that the accuracy from Bootstrap method is the highest and the testing power is comparable to the critic value method based on standard normal distribution under certain conditions,which means that the Bootstrap method can be used to execute the unit root test for this model. This paper both enriches the theory for unit root test and expands the application fields of Bootstrap method.