TESTING FOR A UNIT-ROOT IN TIME-SERIES REGRESSION
成果类型：
Article
署名作者：
PHILLIPS, PCB; PERRON, P
署名单位：
Universite de Montreal
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/75.2.335
发表日期：
1988
页码：
335346
关键词：
摘要：
This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate beween unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey and Fuller. Simulations are reported on the performance of the new tests in finite samples.