Tests for Unit Roots: A Monte Carlo Investigation
通过蒙特卡洛实验比较了Said-Dickey、Phillips和Phillips-Perron提出的单位根检验方法，发现这些检验在有限样本下的分布与Fuller和Dickey-Fuller的检验不同，且Phillips和Phillips-Perron的检验对模型误设更敏感。
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests have different finite sample distributions than the unit root tests developed by Fuller(1976) and Dickey and Fuller (1979, l981) for autoregressive processes. In particular, the tests developed by Philllps (1987) and Phillips and Perron (1988) seem more sensitive to model misspeciflcation than the high order autoregressive approximation suggested by Said and Diekey(1984).