LL Panel Unit Root Test and Its Application;
LL面板单位根检验及其应用
Finite Sample Property and Application of the Unit Root Test M~(GLS) Statistics;
单位根检验统计量M~(GLS)的有限样本性质与应用
Unit Root Test Allowing for Structural Breaks:A Literature Review;
带有结构突变的单位根检验——文献综述
Taking currencies of 15 countries as objects,we apply both the panel unit root method (LLC test,IPS test,and etc.
以15个国家货币实际汇率为研究对象,对其进行面板单位根检验和面板协整检验,检验它们在布雷顿森林体系瓦解后的1979～2006年期间内是否满足购买力平价(PPP)。
In this paper,the ADF unit root test of the time series with EGARCH-SGED error has been discussed by Monte Carlo simulation,The results show:if the generating progress is AR(1)-EGARCH-SGED,the Fuller critical value of Zt statistic can be used,but it will be unvalid for the Zρ statistic,if one want to use the Zρ statistic,it must be adjusted.
在有限样本情况下通过随机模拟讨论了对具有EGARCH-SGED误差项的ADF单位根检验,分析了模型的滞后阶的设定、样本容量、参数变化对临界值的影响。
We simulate the finite-sample ADF unit root test with data generated from GJR-GARCH-skewt error processing by Monte Carlo simulation,and discuss the volatility of disturbance,parameters in conditional distribution,sample length and lever effect.
本文在有限样本情况下,用Monte Carlo方法模拟了具有G JR-GARCH-skewt误差项时间序列的ADF单位根检验。
In this paper,the critical values,power and size distortion on ADF unit root test of time series with autoregressive conditional heteroscedasticity and skewed t conditional distribution on the error term has been analyzed by Monte Carlo simulation,which shows that we can′t use the Fuller critical values directly for serious volatility persistence cases.
本文通过随机模拟,分析条件分布为偏t分布、具有自回归条件异方差误差项的时间序列的ADF单位根检验的临界值、检验的有效性和实际显著水平的扭曲分析。
Unit Root Test Allowing for Structural Breaks:A Literature Review;
带有结构突变的单位根检验——文献综述
Unit root test on time series with EGARCH-SGED error;
具有EGARCH-SGED误差项的时序的单位根检验
Testing for a Unit Root in Time Series with GJR-GARCH Errors;
具有GJR-GARCH误差项时序的ADF单位根检验
Unit root tests on time series with GARCH-SGED error term
具有GARCH-SGED误差项的时序的单位根检验
Research on Wald Statistics for Unit Root Test
单位根检验中的Wald统计量研究
Unit Roots Test and Monte Carlo Simulation on the Interval Structural Breaks;
区间结构突变的单位根检验和蒙特卡洛模拟
Tests for Seasonal Unit Roots in Periodical Heteroscedastic Time Series;
周期异方差时间序列的季节单位根检验
Restricted Structural Breaks Models and Unit Root Test in Panel Data;
受约束结构突变模型与面板单位根检验
Testing China PPP in the Nonlinear STAR Unit Root Framework;
中国购买力平价的STAR非线性单位根检验
Testing China RIP in the Nonlinear KSS Unit Root Framework;
中国实际利率平价的KSS非线性单位根检验
Research on Asymmetric Unit-root Test on a GARCH(1,1) with Normal Errors;
具有GARCH(1,1)-正态误差项的非对称单位根检验研究
Research on the Response Surface Function of P_T Statistic for Unit-Root Test;
对单位根检验P_T统计量响应面函数的研究
Finite Sample Property and Application of the Unit Root Test M~(GLS) Statistics;
单位根检验统计量M~(GLS)的有限样本性质与应用
Study on the Unemployment Rate s Structure Change Using the Panel Unit Roots Test;
基于面板单位根检验的失业率结构突变研究
The Modification to Bias of IV Unit Root Tests in Panels;
工具变量法综列单位根检验的有偏性及其修正
Seasonal Unit Root Test on China s Monthly Export Data;
中国出口月度数据的季节性单位根检验
Testing for a Unit Root in Time Series with TARCH-Skew-t Errors;
具有TARCH-Skew-t误差项时序的ADF单位根检验
Unit Root Tests on Time Series with GARCH-skew-t Error Term;
具有GARCH-skew-t误差项的时序的单位根检验
