零假设情况下若干单位根检验统计量的渐近矩

ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

Econometric Theory · 1999
被引 26
人大 A-ABS 4

中文导读

针对三种线性自回归模型,在真实漂移或趋势缺失的零假设下,推导了单位根检验统计量渐近分布的矩。

Abstract

For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

单位根检验渐近分布零假设