Scale of variance, unit of data and the power of unit root tests under structural changes – a strategy for analysing Nelson–Plosser data
學年 95
學期 1
出版（發表）日期 2006-09-01
作品名稱 Scale of variance, unit of data and the power of unit root tests under structural changes – a strategy for analysing Nelson–Plosser data
作品名稱（其他語言）
著者 張萌旭; Chang, Meng-shiuh; 胡登淵; Hu, Teng-yuan
單位 淡江大學產業經濟學系
出版者 Taylor & Francis
著錄名稱、卷期、頁數 Applied Economics Letters 13(1), p.51-56
摘要 Lee and Strazicich (LS) designed a state-of-the-art statistic for testing for a unit root under structural changes. Using Monte Carlo experiments on the Nelson and Plosser data, this present study analyses the effects of scale of variance and data unit on the size-adjusted power of the LS unit root test. It is found that under the null and the alternative hypotheses of unit root shifts from right to left, the goodness of fit of the statistic worsens, and the power increases systematically when the scale of variance increases from 0.01 w to w and from w to 100 w (w being a weighting factor). The power increases when the data unit is reduced to one tenth and per cent (i.e. one hundredth) except for the Industrial Production Index, Total Unemployment Rate and Nominal Wages. To achieve the goal of higher power and better goodness of fit in the LS test, results suggest using the original variance rather than the best goodness-of-fit variance, changing the data unit to per cent, or using a mixed strategy selecting the data unit corresponding to a higher power for each data series.
關鍵字
語言 en
ISSN 1350-4851
期刊性質 國外
收錄於 SSCI EconLit
產學合作
通訊作者 胡登淵 (Teng-yuan Hu)
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
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