Linear vs. Log‐linear Unit‐Root Specification: An Application of Mis‐specification Encompassing*
提出一种基于条件二阶矩的误设定包含检验，用于在线性和对数线性单位根模型之间选择，并通过蒙特卡洛模拟和美国的季度可支配收入数据验证其有效性。
Abstract The objective of this paper is to apply the mis‐specification (M‐S) encompassing perspective to the problem of choosing between linear and log‐linear unit‐root models. A simple M‐S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. It is shown that by focusing on the conditional process the sampling distributions of the relevant statistics are well behaved under both the null and alternative hypotheses. The proposed M‐S encompassing test is illustrated using US total disposable income quarterly data.