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研究生:莊建民
研究生(外文):Chien-Min Chuang
論文名稱:在一般化分數單根下ADF檢定統計量之極限分配
論文名稱(外文):The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process
指導教授:李慶男李慶男引用關係
指導教授(外文):Chingnun Lee
學位類別:碩士
校院名稱:國立中山大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:48
中文關鍵詞:檢定力極限分配ADF單根檢定分數單根
外文關鍵詞:ADF TestFractional alternativesPowerAsymptotic Distribution
相關次數:
  • 被引用被引用:0
  • 點閱點閱:240
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文主要以Lee and Shie (2003) 的文章為基石,來推導出Augmented Dickey-Fuller (ADF Test) 單根檢定,在一般化的分數單根資料下 (例如: ARFIMA(p,1+d,q) (|d|<1/2; p,q 為正整數時) 的t檢定統計量的極限分配,進而探討其檢定力隨著所選定延滯期數增加而產生變化的原因;在文章的最後,我們提供了一些圖表來說明與蒙地卡羅模擬的證據來佐證我們的推導結論
In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003).
Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance''s variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion by the Monte Carlo experiments.
Catalog:
1 Introduction p.7
2 Model Setting and Denotations p.9
2.1 Population Process p.9
2.1.1 The Binomial Expansion of Fractional
Diference p.10
2.1.2 Assumptions For t p.10
2.1.3 Data Generating Process p.10
2.2 Regression Model p.11
2.3 Denotations p.11
2.4 Estimation p.13
3 The Functional Central Limit Theorem p.14
4 The Propositions of Integrated Process p.15
5 Lemmas p.16
6 Theorems and Discussions p.17
6.1 Theorems p.17
6.2 Discussions p.18
6.2.1 Estimators p.18
6.2.2 Test Statistics p.19
6.3 Figures p.20
6.4 Monte Carlo Evidences p. 23
7 Conclusions p.28
8 Appendix p.29
8.1 Proof of Lemma 1-9 p.29
8.2 Proof of Theorem 1-4 p.38
*References p.44
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