2001 / December Volume 13 No.4
Alternative Proof for the Consistency of the KPSS Tests Against Fractional Alternatives
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| 發刊日期/Published Date |
2001 / December
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| 中英文篇名/Title | 再探KPSS檢定統計量在對立假設爲部分差分時間數列之一致性 Alternative Proof for the Consistency of the KPSS Tests Against Fractional Alternatives |
| 論文屬性/Type | 研究論文 Research Article |
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| 頁碼/Pagination | 401-416 |
| 摘要/Abstract | 本文探討半參數化長期變異數估計法 (semiparametric long run variance estimator) 應用於平穩部分差分時間數列 (stationary fractionally integrated process) 的極限性質，以進一步得出KPSS (Kwiatkowski, et al., 1992) 檢定統計量在對立假設爲平穩部分差分時間數列達成一致性所需之條件，其中之一指出 bandwidth parameter 隨樣本數增加的速度必須低於樣本數的四分之一次方。 This paper investigates the asymptotic properties of the semiparametric long run variance estimator when we demean or detrend a stationary I(d) process. The analytic results are used to show that the KPSS (Kwiatkowski,et al., 1992) test of the I(0) null is consistent against I(d) alternatives when the growth rate of the bandwidth parameter l is o(T 1/4). |
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