Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
通过蒙特卡洛模拟，研究了核函数选择、数据驱动带宽选择及预白化对菲利普斯-佩龙检验有限样本检验功效的影响，发现结合Andrews带宽选择与Andrews-Monahan预白化能显著提升检验功效。
This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the power property of the PP test in finite samples. The Monte Carlo results are instructive. Although the kernel choice is found to make little difference, data-based bandwidth selection and prewhitening can lead to power gains for the PP test. The combined use of both the Andrews (1991, Ecpnometrica 59, 817–858) data-based bandwidth selection procedure and the Andrews and Monahan (1992, Econometrica 60, 953–966) prewhitening procedure performs particularly well. With the combined use of these two procedures, the PPtest displays relatively good power in comparison with the augmented Dickey-Fuller test.