考虑结构突变的单ä&frac1

考虑结构突变的单ä&frac1

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
1 第第第第第第第第第第第 考考考考考考考考考考考考考考考考 ——第第“第第第第第第第”第 Perron第第第第 聂聂聂 1. 聂聂聂聂聂聂聂聂聂聂聂 2. 聂聂聂聂聂聂聂聂聂聂聂聂 第第第第 Perron 聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂 聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂“ IO 聂聂”聂聂聂聂聂聂聂聂 Perron 聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂 聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂聂 第第第 聂聂聂聂 Perron 聂聂 聂聂聂聂聂 聂聂聂聂 聂聂聂聂聂聂 第第第第第 C812 第第第第第 A The Research on the Unit Root Test Procedure with Structural Break —The Analysis Based on the Perron Test in the Frame of “Innovational Outlier Model” Abstract Perron test is one of the methods for unit root test allowing for structural break, and the distributions of the test statistics are dependent on the deterministic trends included in data generated process (DGP) and selected regression. However, the real DGP is unknown in process of the empirical analysis, which leads to no base for unit root test. So it is urgently to search a scientific and effective procedure for unit root test. For this reason, with the analytic frame of “Innovational Outlier model” and basing on Perron test, the paper proposes a procedure for unit root test with structural break and examines the properties of the procedure with finite sample by Monte Carlo simulations, which complements and completes the theories about unit root test with structural break and provides helpful advices and references for empirical analysis Key words Structural break Perron test Unit root test Test procedure Monte Carlo stimulations 第第第第 1974 第 Granger 第 Newbold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 DF 第 ADF 第第第第 PP 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 90 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第第第第第第第第第第第第第第第 Perron第 1989,1990 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
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

Page1 / 10

考虑结构突变的单ä&frac1

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online