ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
指出Hasan和Koenker提出的基于秩的单位根检验以及M估计量检验在正态新息下功效等于检验水平的问题，源于为计算方便而变换检验统计量；提出一种无需变换即可计算临界值的方法，使检验在正态误差下接近最小二乘法功效，在厚尾分布下更优。
The rank-based unit root tests proposed by Hasan and Koenker (1997, Econometrica 65, 133–161) have power equal to size for normal innovations. Unit root tests based on M-estimators exhibit the same behavior. The problem occurs because the test statistics are transformed to obtain computationally convenient critical values. I describe a convenient way to compute critical values without transforming the test statistics. The resulting tests are almost as powerful as least squares–based tests for normal errors and much more powerful for thicker tailed distributions.I thank Thomas Rothenberg for many useful comments. This paper is based on my dissertation, which he supervised. I also thank Jack Porter, Jim Powell, Richard Stanton, and Jim Stock for good advice. Comments of Bruce Hansen, the editor, and two anonymous referees improved the exposition.