| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0130 |
| 来源ID | Technical Working Paper 0130 |
| Efficient Tests for an Autoregressive Unit Root | |
| Graham Elliott; Thomas J. Rothenberg; James H. Stock | |
| 发表日期 | 1992-12-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is proposed, members of which are asymptotically similar under a general 1(1) null (allowing nonnormality and general dependence) and which achieve the Gaussian power envelope. One of these tests, which is asymptotically point optimal at a power of 50%, is found (numerically) to be approximately uniformly most powerful (UMP) in the case of a constant deterministic term, and approximately uniformly most powerful invariant (UMPI) in the case of a linear trend, although strictly no UMP or UMPI test exists. We also examine a modification, suggested by the expression for the power envelope, of the Dickey-Fuller (1979) t-statistic; this test is also found to be approximately UMP (constant deterministic term case) and UMPI (time trend case). The power improvement of both new tests is large: in the demeaned case, the Pitman efficiency of the proposed tests relative to the standard Dickey-Fuller t-test is 1.9 at a power of 50%. A Monte Carlo experiment indicates that both proposed tests, particularly the modified Dickey-Fuller t-test, exhibit good power and small size distortions in finite samples with dependent errors. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0130 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561578 |
| 推荐引用方式 GB/T 7714 | Graham Elliott,Thomas J. Rothenberg,James H. Stock. Efficient Tests for an Autoregressive Unit Root. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0130.pdf（2594KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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