Tests for Unit Roots: A Monte Carlo Investigation
通过蒙特卡洛实验比较了多种单位根检验方法在有限样本下的表现，发现Phillips和Perron的检验对模型设定错误更敏感。
Abstract 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 models (tests for stationary). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests developed by Phillips (1987) and Phillips and Perron (in press) seem more sensitive to model misspecification than the high-order autoregressive approximation suggested by Said and Dickey (1984). KEY WORDS: ARIMAAutoregressiveMoving averageSizeStationarity