UNIT-ROOT TESTS IN ARMA MODELS WITH DATA-DEPENDENT METHODS FOR THE SELECTION OF THE TRUNCATION LAG

被引：822

作者：

NG, S ^{[1
]}

PERRON, P ^{[1
]}

机构：

[1] UNIV MONTREAL,CRDE,MONTREAL,PQ H3C 3J7,CANADA

来源：

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION | 1995年 / 90卷 / 429期

关键词：

DICKEY-FULLER T TEST; GENERAL TO SPECIFIC; INFORMATION CRITERIA; ORDER SELECTION; SAID-DICKEY TEST;

D O I：

10.2307/2291151

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We analyze the choice of the truncation lag in the context of the Said-Dickey test for the presence of a unit root in a general autoregressive moving average model. It is shown that a deterministic relationship between the truncation lag and the sample size is dominated by data-dependent rules that take sample information into account. In particular, we study data-dependent rules that are not constrained to satisfy the lower bound condition imposed by Said-Dickey. Akaike's information criterion falls into this category. The analytical properties of the truncation lag selected according to a class of information criteria are compared to those based on sequential testing for the significance of coefficients on additional lags. The asymptotic properties of the unit root test under various methods for selecting the truncation lag are analyzed, and simulations are used to show their distinctive behavior in finite samples. Our results favor methods based on sequential tests over those based on information criteria, because the former show less size distortions and have comparable power.

引用

页码：268 / 281

页数：14

共 24 条

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