A New Test for Nonstationarity Against the Stable Alternative
利用Wald和拉格朗日乘子统计量在非平稳下的分布差异，提出一种基于修正归一化自相关系数的单位根检验，在大样本和有效大样本中优于现有方法。
It was recently shown (Abadir, 1993b) that nonstationarity causes the limiting distributions of the Wald ( W ) and Lagrange multiplier ( LM ) statistics to become different from each other. This paper demonstrates that such a divergence between the two distributions can be used as an indicator of the presence of a unit root. A test based on this idea is devised by modifying the normalized autocorrelation coefficient ( NAC ). It is then shown to be an improvement on NAC in large samples and an improvement on other existing tests in large effective samples. The paper also investigates the effect of nonstationarity on the well-known inequality W ≥ LR ≥ LM .