引导测试的大小失真:一个来自单位根测试的例子

IF 0.7 Q3 ECONOMICS Review of Economic Analysis Pub Date : 2010-08-06 DOI:10.15353/rea.v2i2.1471
R. Davidson
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引用次数: 1

摘要

对参数接近于-1的平稳MA(1)过程求和得到的序列的单位根进行测试,由于驱动平稳序列中的MA分量几乎抵消了单位根,因此在null下会导致严重的尺寸失真。从自举测试的角度对这种情况进行了分析,并对自举测试的拒绝概率误差给出了精确的定量说明。推荐一种估算MA参数的特殊方法,因为即使MA参数接近-1,它也会导致非常小的失真。提出了一种性能更好的自举过程。虽然比通常的自举法需要更多的计算量,但它比双自举法要少得多。
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Size Distortion of Bootstrap Tests: an Example from Unit Root Testing
Testing for a unit root in a series obtained by summing a stationary MA(1) process with a parameter close to -1 leads to serious size distortions under the null, on account of the near cancellation of the unit root by the MA component in the driving stationary series. The situation is analysed from the point of view of bootstrap testing, and an exact quantitative account is given of the error in rejection probability of a bootstrap test. A particular method of estimating the MA parameter is recommended, as it leads to very little distortion even when the MA parameter is close to -1. A new bootstrap procedure with still better properties is proposed. While more computationally demanding than the usual bootstrap, it is much less so than the double bootstrap.
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
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