A stochastic unit root test under the existence of correlation between disturbing term and errors
碩士 === 國立中山大學 === 經濟學研究所 === 107 === In this paper, we attempted to find out a new stochastic unit root test under the existence of correlation between disturbing term and errors in the model. From the past literatures, we observe that these test statistics of STUR lack to consider the correlation b...
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ndltd-TW-107NSYS53890322019-09-17T03:40:11Z http://ndltd.ncl.edu.tw/handle/62bq4s A stochastic unit root test under the existence of correlation between disturbing term and errors 考慮干擾項及誤差項相關性存在情況下的隨機單根檢定 Mao-Ning Li 李茂寧 碩士 國立中山大學 經濟學研究所 107 In this paper, we attempted to find out a new stochastic unit root test under the existence of correlation between disturbing term and errors in the model. From the past literatures, we observe that these test statistics of STUR lack to consider the correlation between disturbing term and errors in the regression due to the null hypothesis. Therefore, in this paper, we use the regression which contains the correlation between disturbing term and errors. After finding out the test statistic, we use the Monte Carlo method to support our theorem. And, we notice that the power of statistic only affected by the variance of disturbing term. Compare to the other stochastic unit root test, the performance of power doesn''t as good as expected. The reason of result may owing to single variable test which is the variance of disturbing term that we focus on. We didn''t consider the variable which is the combination of correlation and variance of disturbing term in the regression as well. If we change to multiple regression analysis, the performance of power may better than this one. Lee, Chingnun 李慶男 2019 學位論文 ; thesis 40 zh-TW |
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碩士 === 國立中山大學 === 經濟學研究所 === 107 === In this paper, we attempted to find out a new stochastic unit root test under the existence of correlation between disturbing term and errors in the model. From the past literatures, we observe that these test statistics of STUR lack to consider the correlation between disturbing term and errors in the regression due to the null hypothesis. Therefore, in this paper, we use the regression which contains the correlation between disturbing term and errors. After finding out the test statistic, we use the Monte Carlo method to support our theorem.
And, we notice that the power of statistic only affected by the variance of disturbing term. Compare to the other stochastic unit root test, the performance of power doesn''t as good as expected. The reason of result may owing to single variable test which is the variance of disturbing term that we focus on. We didn''t consider the variable which is the combination of correlation and variance of disturbing term in the regression as well. If we change to multiple regression analysis, the performance of power may better than this one.
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author2 |
Lee, Chingnun |
author_facet |
Lee, Chingnun Mao-Ning Li 李茂寧 |
author |
Mao-Ning Li 李茂寧 |
spellingShingle |
Mao-Ning Li 李茂寧 A stochastic unit root test under the existence of correlation between disturbing term and errors |
author_sort |
Mao-Ning Li |
title |
A stochastic unit root test under the existence of correlation between disturbing term and errors |
title_short |
A stochastic unit root test under the existence of correlation between disturbing term and errors |
title_full |
A stochastic unit root test under the existence of correlation between disturbing term and errors |
title_fullStr |
A stochastic unit root test under the existence of correlation between disturbing term and errors |
title_full_unstemmed |
A stochastic unit root test under the existence of correlation between disturbing term and errors |
title_sort |
stochastic unit root test under the existence of correlation between disturbing term and errors |
publishDate |
2019 |
url |
http://ndltd.ncl.edu.tw/handle/62bq4s |
work_keys_str_mv |
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