教師資料查詢 | 類別: 期刊論文 | 教師: 胡登淵 Hu, Teng-yuan (瀏覽個人網頁)

標題: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
語言英文
ISSN1350-4851
期刊性質國外
收錄於SSCI;
產學合作
通訊作者胡登淵 (Teng-yuan Hu)
審稿制度
國別英國
公開徵稿
出版型式,電子版,紙本
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