pp单位根检验是如何确定模型形式的

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  图片中的 pp检验结果中模型形式 特别是滞后项是如何确定的

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关键词：单位根检验 PP检验 滞后项 单位 检验 如何

pp检验应该不涉及到滞后阶数问题呀

似乎是ADF检验吧，如果是PP检验中涉及到滞后期，应该是估计长期方差时的截断参数吧！

harlon1976 发表于 2013-6-10 16:12
似乎是ADF检验吧，如果是PP检验中涉及到滞后期，应该是估计长期方差时的截断参数吧！

你会做面板协整吗 多变量的

我也很想知道啊

In PP test, the truncation parameter is the truncation parameter in estimating the so-called long run variance (HAC). The reason for using this estimator is that where the innovations of the unit root process are correlated, the limiting distribution of the DF statistic is not nuisance parameter free and depends on the long run variance (Phillips (1987), PP (1988)). Thus you need the estimator to correct for the nuisance parameter. This phenomenon is similar to that of ADF test where lagged differences are introduced to eliminate the effect of serial correlation.
Theoretically speaking, under general assumptions, the truncation parameter p should go to infinity as sample size go to infinity. There are data-drived methods to select p (Newey and West (1987) or Andrews (1991)). However, it seem that in the software, the p value are fixed before doing unit root test. Hope my explanation may help.

对于小样本数据，用ADF还是PP比较可靠，感觉二者的结果不一致呀。

cbqywl 发表于 2013-7-11 13:07
In PP test, the truncation parameter is the truncation parameter in estimating the so-called long ru ...

thanks