| 具有GARCH-skew-t误差项的时序的单位根检验 |
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| 引用本文： | 彭作祥,庞皓. 具有GARCH-skew-t误差项的时序的单位根检验[J]. 数理统计与管理, 2005, 24(6): 49-54 |
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| 作者姓名： | 彭作祥 庞皓 |
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| 作者单位： | 西南师范大学与财经学院,重庆,400715;西南财经大学统计学院,成都,610074 |
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| 基金项目： | 国家自然科学基金资助(编号:70371061) |
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| 摘 要： | 本文通过随机模拟,分析条件分布为偏t分布、具有自回归条件异方差误差项的时间序列的ADF单位根检验的临界值、检验的有效性和实际显著水平的扭曲分析。结果显示,随着波动持久性的增强,已不能直接使用Fu ller的临界值表。
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| 关 键 词： | ADF单位根检验 自回归条件异方差 偏t分布 波动 |
| 文章编号： | 1002-1566(2005)06-0049-06 |
| 收稿时间： | 2004-05-21 |
| 修稿时间： | 2004-05-21 |
Unit Root Tests on Time Series with GARCH-skew-t Error Term |
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| PENG Zuo-xiang,PANG Hao. Unit Root Tests on Time Series with GARCH-skew-t Error Term[J]. Application of Statistics and Management, 2005, 24(6): 49-54 |
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| Authors: | PENG Zuo-xiang PANG Hao |
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| Affiliation: | 1. School of Mathematics and Finance, Southwest Normal University, Chongqing, 400715 ; 2. School of Statistics, Southwest University of Finance and Economics, Chengdu, 610074 |
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| Abstract: | In this paper,the critical values,power and size distortion on ADF unit root test of time series with autoregressive conditional heteroscedasticity and skewed t conditional distribution on the error term has been analyzed by Monte Carlo simulation,which shows that we can′t use the Fuller critical values directly for serious volatility persistence cases. |
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| Keywords: | ADF unit root test autoregressive conditional heteroscedasticity skewed-t distribution volatility |
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