退势平稳过程&aeli

退势平稳过程&aeli

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Unformatted text preview: 第 1 第第第第第第第第第第第 退退退退退退退退退退退退退退退 第第 12 第第第 1 (1.第第第第第第第第第第第第2.第第第第第第第) 退退退 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 退退退退 第第第第第第 第第第第 第第第第第第 第第第第第 退退退退退退 F224 Research on Properties of the Test Statistic of Trend-Stationary Process Abstract: We analysis the properties of the test statistic of Trend-stationary process in different situations in the paper 第 We verify the asymptotic distribution of the test statistic第and simulate the critical values of the test statistic in finite sample size via Monte Carlo simulations 第 Where the significant level is in common used 第 Furthermore 第 the author fits the response face function of critical value about the sample size, on the bases of the response face functions 第 the empirical critical values at different percentages in different sample sizes are tabled第What have been done in the paper provide foundations for further theory analysis and hypothesis test第 Key words: Trend-stationary process第 Asymptotic distribution第 Monte Carlo Simulation第 Response Face Function 退退退退退退退 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第第第第第第第第第第第第第第第第第第第第第 Nelson 第 Plosser (1982)第第第 14 第第第第第第第第第第第第第第第第 13 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 (real business cycle)第第 Perron (1989)第第第第 14 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 12 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第第第第 DF 第第第 PP 第第第 KPSS 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第第第第第第第第第第第第第第第第第第第第第第...
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This note was uploaded on 10/10/2011 for the course ECON 3250 taught by Professor Wan during the Spring '11 term at Hong Kong Baptist University, China.

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退势平稳过程&aeli

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