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Unformatted text preview: 第 1 第 第第第第第第第第第第 第第第第第9991 ADF 第第第第第第第第第第 1 ——基基 ARIMA(0,1,q)基基基基基基基 基 基 2 基基基基基基基基基基基基基基基基基 第第第第 基基基 ADF 基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基 ADF 基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基 ARIMA(0,1,q)基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基 ADF基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基基 基基基 ADF基基基基基 第第第 ADF 基基 基基基基 基基基基 基基基基基基基 基基基基基基基 第第第第第 F224.0 第第第第第 A The Lag Length Selection in Augmented Dickey-Fuller test: Simulation Evidence from an ARIMA(0,1,q) Process Abstract: The optimal lag length in estimating Augmented Dickey-Fuller statistics have been concentrated on for years. Previous research indicated that different leg length selection models affect a lot on the statistical inference of ADF test. Based on all the researches available, this paper simulates a more general ARIMA(0,1,q) process and analyzes the influence of lag length selection criterions to the size and power of the ADF test with different data generating processes, ADF regressions, and sample sizes. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust properties in ADF test. Keywords: ADF test Lag Length Information Criteria Modified Information Criteria General to Specific 第第第 第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第Dickey 第 Fuller(1979, 1981) 3 第第第第第第 ADF 第第第第第第第第第第第第 y t 第 ARIMA ( p ,1,0)第第第第第第第第第第第第第第第第 k ≥ p 第 ADF 第第第第第第第第第第第第第第第第第第第 ADF 第第第第第第第 p 第第第第第第第第第第第第第第第第第 k 第第第第第第第第第第第第第第第第第第第 第第第第第第第第(rule of thumb)第第第第第第第第第第第第第 k 第第第 k 第第第第第第第第第第第第第第第第第第第第第第第第 k 第第第第第第第第 Akaike(1973)第第第第(Akaike Information Criteria第第第第第第 AIC )第Schwarz(1978)第第第第(Schwarz Information Criteria第第第第第第 SIC )第Hannan 第 Quinn(1979)第第第第(Hannan and Quinn Information Criteria第第第第第第 HQIC )第第第第第第第第第(General to Special Criteria第第 第第第第 GSC )第第第第第第第第第(Special to General Criteria第第第第第第 SGC )第第第第第第第第第第第第第Weber(1998)第第第第第第第第第第(No...
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