On The Power of The Augmented Dickey-Fuller Test of Unit Root against Fractionally-Integrated Altern
2003/09/30
研討會日期 : 2003-09-30
時間 : 15:00
主講人 : 李慶男教授
地點 : B棟110室
演講者簡介 : 李慶男教授為Ph.D. in Economics，Michigan State University(1994)。
現為中山大學經濟所副教授。
其主要研究領域為數列分析及計量經濟學。
演講摘要 : This paper shows that the Augmented Dickey-Fuller's t test statistics, tADF, of a unit root is consistent against nonstationary long memory alternatives, such as I(1 + d) process for d(-0:5; 0:5), d0. It can therefore be used to distinguish a series being a unit root from a nonstationary long memory process. Theoretically, the number of lagged difference included in the regression affects not only the asymptotics of tADF but also its finite-sample power, which is supported by Monte Carlo experiments.
