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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3790


    Title: t 檢定偵測結構性變動的穩健性
    Other Titles: On the Robustness of t Ratio in Testing for Parameter Instability
    Authors: 郭炳伸
    Keywords: 靴帶法;ARMA模式;穩健性;結構性變動;t檢定偵測
    Bootstrap;ARMA model;Robustness;Structural change;t testing
    Date: 2002
    Issue Date: 2007-04-18 16:36:09 (UTC+8)
    Publisher: 臺北市：國立政治大學國際貿易學系
    Abstract: Tests for the stationarity null due to Kwiatkowski et al. (1992) continue to be an indispensable part of tool kits for empirical researchers when investigating time series property of aggregate variables. As well-documented in the literature (see for instance, Caner and Kilian, 2001), the tests display considerable size distortions, if the data generated under the null is highly persistent. The paper oers an asymptotic explanation in a local-to-unity framework. Our analytical derivations unveil that the tests fail to converge without a re-normalization. The surprising nding suggests that the size bias deteriorates as sample size increases, but declines as bandwidth number increases, consistent with simulation evidence. The derivations however give little clue to how to mitigate the size bias, because of an inability to consistently estimate the local-to-unity parameter. While it is natural to appeal to the bootstrapping, it proves infeasible to construct a sensible re-sampling scheme, based on the unobserved compo- nent model from which the observed series is generated. We resolve the diculty by drawing bootstrap samples from a parametric ARIMA model, second-order equivalent in moments to the unobserved component model. Even in the presence of highly per- sistent processes, our bootstrap tests are found to yield very satisfactory control over the rejection probability at little cost of power loss.
    Description: 核定金額：902700元
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

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