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Finite Sample Property and Application of the Unit Root Test MGLS Statistics
Author(s): 
Pages: 103-114
Year: Issue:  4
Journal: THE JOURNAL OF QUANTITATIVE & TECHNICAL ECONOMICS

Keyword:  单位根检验Ng-Perron检验蒙特卡罗模拟响应面函数;
Abstract: Ng-Perron单位根检验是值得在实际分析中广泛应用的检验方法.本文在详述MGLS统计量的构造方法基础上,应用蒙特卡罗模拟试验分析了该统计量的有限样本分布特征,并拟合了常用显著性水平下临界值关于样本容量的响应面函数;此外,针对实际应用中检验回归式中差分变量滞后阶数的确定,本文总结了几种常用的方法,从而完善了依据MGLS统计量进行单位根检验的程序和步骤.
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