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

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research 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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.