On the power of durbin-watson statistic against fractionally integrated processes
研究了修正的德宾-沃森统计量用于检验单位根过程（I(1)）对抗分数积分过程（I(d)）的理论性质，并通过蒙特卡洛实验验证其作为单位根检验的一致性。
This paper provides the theoretical explanation and Monte Carlo experiments of using a modified version of Durbin-Watson ( D W ) statistic to test an 1 ( 1 ) process against I ( d ) alternatives, that is, integrated process of order d, where d is a fractional number. We provide the exact order of magnitude of the modified D W test when the data generating process is an I ( d ) process with d E (0. 1.5). Moreover, the consistency of the modified DW statistic as a unit root test against I ( d ) alternatives with d E ( 0 , l ) U ( 1 , 1.5) is proved in this paper. In addition to the theoretical analysis, Monte Carlo experiments show that the performance of the modified D W statistic reveals that it can be used as a unit root test against I ( d ) alternatives.