| 带季节线性趋势的季节时间序列的单位根检验 |
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| 引用本文： | 金兰,柳京爱. 带季节线性趋势的季节时间序列的单位根检验[J]. 应用概率统计, 2003, 19(3): 225-231 |
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| 作者姓名： | 金兰 柳京爱 |
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| 作者单位： | 延边大学师范学院数学系,延吉,133002 |
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| 摘 要： | 本文为检验带季节线性趋势的季节时间序列的单位根，提出了调整季节线性趋势的统计量，导出这些统计量的极限分布，并用Monte Carlo方法比较研究这些统计量的检验势．
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| 关 键 词： | 季节时间序列 季节线性趋势 单位根检验 |
Unit Root Test for Seasonal Time Series with Seasonal Linear Trend |
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| JIN LAN Liu JINGAI. Unit Root Test for Seasonal Time Series with Seasonal Linear Trend[J]. Chinese Journal of Applied Probability and Statisties, 2003, 19(3): 225-231 |
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| Authors: | JIN LAN Liu JINGAI |
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| Abstract: | In this thesis, we propose the seasonal linear trend adjusted test statistics for seasonal time series autore-gressive models with a unit root and derive representations for the limit distributions of the estimators and pivotal statistics. We have small Monte Carlo studies to compare the powers of the test statistics suggested in this thesis. |
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| Keywords: | Seasonal time series seasonal linear trend unit root test. |
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