A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tunin...

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英文文献：A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic-一个强大的检验自回归单位根假设基于调整参数自由统计
英文文献作者：Morten ?rregaard Nielsen
英文文献摘要：
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung’s (2002) test as the special case d = 1. It is shown that (i) each member of the family with d > 0 is consistent, (ii) the asymptotic distribution depends on d, and thus reflects the parameter chosen to implement the test, and (iii) since the asymptotic distribution depends on d and the test remains consistent for all d > 0, it is possible to analyze the power of the test for different values of d. The usual Phillips-Perron or Dickey-Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties. It is shown that members of the family with d

摘要本文提出了一组单参数的非参数单位根检验，并将Breitung(2002)检验作为特殊情况d = 1。证明(i)每个家庭成员d > 0是一致的,(2)渐近分布取决于d,从而反映了参数选择实现的测试,和(3)自测试保持一致渐近分布取决于d和d > 0,可以分析测试不同的d值的力量。通常Phillips-Perron或Dickey-Fuller类型测试被带宽,延迟长度,等等,但这些三个属性。它表明，家族成员的d

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