【摘要】 单位根检验同被检验的模型中是否存在常数项、时间趋势项密切相关,针对常数项和时间趋势项及其t统计量的分布特征目前得到了很好的研究,但是相应的联合检验F统计量研究很少,而Hatanka(1996)就提到了该统计量的重要性,并认为有必要对其分布特征进行研究。本文通过蒙特卡罗模拟,分析了DF检验式中联合检验F统计量的分布特征,在此基础上给出了有限样本条件下各检验统计量的响应面函数,从而使得单位根检验进一步完善。更多还原

【Abstract】 Unit root test is closely related to whether a constant or time trend is exit.Although t-statistics of unit root test is well studied,the distribution properties of its F-statistics is seldom discussed,Hatanka(1996)thought that it is necessarily to study the distribution properties of F-statistics.This paper analyzes the properties of the small sample distributions of F-statistics and present the response surface functions for various finite sample sizes using Monte Carlo simulations.It helps to make unit root test result impeccable as well.更多还原