论文检索

基于广义最小二乘去趋势数据的残差协整检验AI 解读

We provide generalized least‐squares (GLS) detrended versions of single‐equation static regression or residuals‐based tests for testing whether or not non‐stationary time series are cointegrated. Our approach is to consider nearly optimal tests for unit roots and to apply them in the cointegration context. We derive the local asymptotic power functions of all tests considered for a triangular data‐generating process, imposing a directional restriction such that the…

初始观测来自无条件分布时的单位根检验与结构变化AI 解读

Following Elliott (1999; International Economic Review 40, 767--83.) and Perron and Rodríguez (2003; Journal of Econometrics 115,1--27), we develop unit root tests in the context of structural change models using GLS detrended data ( Elliott, Rothenberg and Stock 1996; Econometrica 64, 813--39) when the initial observation is drawn from its unconditional distribution. We derive the limiting distributions of the M-tests ( Stock, 1999 cointegration, causality and forecasting;…