协整检验的比较

IF 0.6 4区数学 Q4 MATHEMATICS, APPLIED Applications of Mathematics Pub Date : 1996-01-01 DOI:10.21136/am.1996.134335

Petr Mariel

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引用次数: 5

摘要

本文对单方程的协整检验进行了比较。许多现有的协整检验只是单位根检验的扩展，应用于协整回归的残差，习惯的$H_{0}$是无协整的。然而，最近文献中出现了一些基于非残差的检验和一些相反零假设的检验。采用蒙特卡罗模拟方法对选定的9个测试($ADF$、$\hat{Z}_{\alpha }$、$\hat{Z}_{t}$、$DHS$、$J1$、$H1$、$H2$、$C$、$LBI$)进行了功率比较，并采用了几种类型的数据生成过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A comparison of cointegration tests

In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_{0}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha }$, $\hat{Z}_{t}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.

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来源期刊

Applications of Mathematics 数学-应用数学

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

3.0 months

期刊介绍： Applications of Mathematics publishes original high quality research papers that are directed towards applications of mathematical methods in various branches of science and engineering. The main topics covered include: - Mechanics of Solids; - Fluid Mechanics; - Electrical Engineering; - Solutions of Differential and Integral Equations; - Mathematical Physics; - Optimization; - Probability Mathematical Statistics. The journal is of interest to a wide audience of mathematicians, scientists and engineers concerned with the development of scientific computing, mathematical statistics and applicable mathematics in general.