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題 名 | 虛無假設為平穩、對立假設為單位根的拉格朗日乘子檢定統計量=Lagrange Multiplier Test Statistics for Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root |
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作 者 | 郭美惠; 沈志強; | 書刊名 | 中國統計學報 |
卷 期 | 35:3 1997.09[民86.09] |
頁 次 | 頁227-247 |
分類號 | 319.16 |
關鍵詞 | 單位根檢定; 拉格朗日乘子統計量; 時間序列; Lagrange multiplier statistic; Time series; Unit root test; |
語 文 | 中文(Chinese) |
中文摘要 | 考慮下列之時間序列迴歸模型: Yt = αt + βo + β□t + Vt αt = αt-1 +,μt 其中{Vt}是干擾過程,{μt}與{Vt}互相獨立,是一組i.i.d. N(0,□)的隨機變數。 考慮下列的假設檢定□:□=0相於□:□>0。此假設檢定等價於檢定在虛無假設下{Yt}是 趨勢平穩的過程,而在對立假設下{}是具單位根的假設檢定。在本文中,我們推導出,當 { Vt }為MA(1)過程時,上述假設檢定之拉格朗日乘子檢定統計量及其以機率收斂的部分。 |
英文摘要 | Consider the following time series model: Yt = αt + βo + β□t + Vt αt = αt-1 +,μt where {vt} is the innovation process and {μt}, which is independent of {vt}, is a sequence of i.i.d. N(O, □)random variables. Consider the hypothesis testing problem □:□=O vs. □: □>0. This hypothesis testing problem is equivalent to testing the null hypothesis of stationarity against the alternative hypothesis of a unit root. In this paper, we derive the Lagrange multiplier test statistic and the convergence in probability for some of its terms when' {Vt} is an MA(1) process. |
本系統中英文摘要資訊取自各篇刊載內容。