adf检验中滞后长度的选择——基于arima.doc

ADF检验中滞后长度的选择——基于ARIMA

ADF检验中滞后长度的选择——基于ARIMA(0,1,q)过程的模拟证据

【摘要】在进行ADF检验时如何确定一个最优的滞后长度一直是研究者们关注的问题。最近的研究表明，不同的滞后长度选择方法对ADF检验的统计推断影响很大。本文在已有研究的基础上，模拟了更为一般的ARIMA(0,1,q)过程，分析了在不同的数据生成过程、检验式以及样本容量下，各种滞后长度选择方法对ADF检验功效和实际检验水平的影响，最后认为修正的信息准则通常具有较合理的实际检验水平，而从一般到特殊法具有更为稳健的ADF检验性质。

关键词 ADF检验 滞后长度 信息准则 修正的信息准则 从一般到特殊法

Abstract: The optimal lag length in estimating Augmented Dickey-Fuller statistics have been concentrated on for years. Previous research indicated that different leg length selection models affect a lot on the statistical inference of ADF test. Based on all the researches available, this paper simulates a more general ARIMA(0,1,q) process and analyzes the influence of lag length selection criterions to the size and power of the ADF test with different data generating processes, ADF regressions, and sample sizes. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust properties in ADF test.

Keywords: ADF test Lag Length Information Criteria Modified Information Criteria General to Specific