期刊
ECONOMETRIC REVIEWS
卷 37, 期 9, 页码 955-973出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/00927872.2016.1178887
关键词
Autoregressive representation; hypothesis testing; random walk
类别
资金
- NSF [DMS 12-23137, DMS 13-08319]
It is shown that the limiting distribution of the augmented Dickey-Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR() process assumption typically imposed. In essence, all that is required is that the error process driving the random walk possesses a continuous spectral density that is strictly positive. Furthermore, under the same weak assumptions, the limiting distribution of the ADF test is derived under the alternative of stationarity, and a theoretical explanation is given for the well-known empirical fact that the test's power is a decreasing function of the chosen autoregressive order p. The intuitive reason for the reduced power of the ADF test is that, as p tends to infinity, the p regressors become asymptotically collinear.
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