Improving the Performance of a Long-Run Variance Ratio Test for a Unit Root

IF 1.5 4区经济学 Q2 ECONOMICS

Japanese Economic Review Pub Date : 2018-07-02 DOI:10.1111/jere.12185

Hugo Ferrer-Pérez, María-Isabel Ayuda, Antonio Aznar

引用次数: 0

Abstract

Cai and Shintani (2006, Econometric Theory, 22, 347–372) considered the impact of introducing an inconsistent long-run variance estimator when constructing a class of kernel-based ratio tests for testing non-stationarity in the series. They found that the quotient of two estimators with different rates of convergence under the null and the alternative hypotheses may lead to a test having an interesting size and power trade-off. This paper develops modified versions of this test, presents new asymptotic results and tabulates critical values. The finite sample performance is explored through Monte Carlo simulations. The results show that the modifications proposed lead to more powerful unit root tests.

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改进单位根长期方差比检验的性能

Cai和Shintani (2006, Econometric Theory, 22, 347-372)在构建一类基于核的比率检验来检验序列的非平稳性时，考虑了引入不一致的长期方差估计量的影响。他们发现，在零假设和备选假设下具有不同收敛率的两个估计量的商可能导致测试具有有趣的大小和功率权衡。本文对该检验进行了改进，给出了新的渐近结果，并给出了临界值表。通过蒙特卡罗模拟探讨了有限样本的性能。结果表明，所提出的修正使单位根检验更有效。

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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来源期刊

Japanese Economic Review ECONOMICS-

CiteScore

2.70

自引率

0.00%

发文量

期刊介绍： Started in 1950 by a group of leading Japanese economists under the title The Economic Studies Quarterly, the journal became the official publication of the Japanese Economic Association in 1959. As its successor, The Japanese Economic Review has become the Japanese counterpart of The American Economic Review, publishing substantial economic analysis of the highest quality across the whole field of economics from researchers both within and outside Japan. It also welcomes innovative and thought-provoking contributions with strong relevance to real economic issues, whether political, theoretical or policy-oriented.