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Joon Y. Park
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G. Koop
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Katsuto Tanaka
Econometric Theory, Vol. 15, No. 4. (Aug., 1999), pp. 549-582.
The Fractional Unit Root Distribution
Fallaw Sowell
Econometrica, Vol. 58, No. 2. (Mar., 1990), pp. 495-505.
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Katsuto Tanaka
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P. C. B. Phillips
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Efficient Tests for an Autoregressive Unit Root
Graham Elliott; Thomas J. Rothenberg; James H. Stock
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Threshold Autoregression with a Unit Root
Mehmet Caner; Bruce E. Hansen
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Unit Root Tests Based on Adaptive Maximum Likelihood Estimation
Dong Wan Shin; Beong Soo So
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A Correction Factor for Unit Root Test Statistics
Francesco Bravo
Econometric Theory, Vol. 15, No. 2. (Apr., 1999), pp. 218-227.
单位根检验是计量经济学中非常重要的一部分,是进行协整分析,格兰杰因果关系的基础.在计量经济学的自回归模型里,如果在yt=a+byt-1+et里,系数 | b | = 1,那么一个单位根是存在的。其中:yt 是在t 时刻的变量,b 是斜率系数,et是误差项。如果单位根存在,时间序列可以说是有一个随机趋向。
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