Augmented Dickey-Fuller test and the Lag Length Selection Problem

摘要：

Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perrons works, this article simulates a more general ARIMA(0,l,gr) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.

关键词： ADF Test Lag Length Information Criteria Modified Information Criteria General to Specific Criteria

作者: DENG Lu

作者单位: Institute of Statistics, Central University of Finance and Economics, Beijing, China 39 South College Road, Haidian District, Beijing, P. R. China 100081

会议类型: 国际会议

会议名称: 2011 3nd International Conference on Mechanical and Electronics Engineering(2011年第三届机械与电子工程国际会议 ICMEE2011)

会议地点: 合肥

会议语种:英文

页码: 3019-3022

在线出版日期: 2011-09-23（万方平台首次上网日期，不代表论文的发表时间）