A Comparison of Unit-Root Test Criteria
比较了多种单位根检验准则，通过蒙特卡洛研究发现加权对称估计量和无条件最大似然估计量对平稳备择假设的检验功效最高，并分析了美国一月期国债利率周数据。
During the past 15 years, the ordinary least squares estimator and the corresponding pivotal statistic have been widely used for testing the unit-root hypothesis in autoregressive processes. Recently, several new criteria, based on maximum likelihood estimators and weighted symmetric estimators, have been proposed. In this article, we describe several different test criteria. Results from a Monte Carlo study that compares the power of the different criteria indicate that the new tests are more powerful against the stationary alternative. Of the procedures studied, the weighted symmetric estimator and the unconditional maximum likelihood estimator provide the most powerful tests against the stationary alternative. As an illustration, the weekly series of one-month treasury-bill rates is analyzed.