A unified unit root test regardless of intercept
针对增广迪基-富勒检验中截距项设定不同导致结果矛盾的问题，提出一种统一推断方法，能适应不同持久性和异方差误差，模拟显示其尺寸控制良好且功效合理，并用于重新检验股票收益可预测性中11个常用变量的单位根。
Using the augmented Dickey-Fuller test to verify the existence of a unit root in an autoregressive process often requires the correctly specified intercept, since the test statistics can be distinctive under different model specifications and lead to contradictory results at times. In this article, we develop a unified inference that not only unifies the specifications of the intercept but also accommodates different degrees of persistence of the underlying process and heteroscedastic errors. A simulation study shows that the resulting unified unit root test exhibits excellent size control and reasonably good power. In an empirical application, we implement the proposed test to re-examine the presence of unit roots within eleven widely used variables in stock return predictability.