《计量经济学导论》ch18.pptVIP

Chapter 18;Testing for unit roots For the validity of regression analysis, it is crucial to know whether or not dependent or independent variables are highly persistent Dickey-Fuller test One can use the t-statistic to test the hypothesis, but under the null, it has not got the t-distribution but the Dickey-Fuller distribution The Dickey-Fuller distribution has to be looked up in tables;Alternative Formulation of the Dickey-Fuller test Critical values for Dickey-Fuller test;Example: Unit root test for three-month T-Bill rates Augmented Dickey-Fuller test The augmented Dickey-Fuller test allows for more serial correlation The critical values and the rejection rule are the same as before;Dickey-Fuller test for time series that have a time trend Critical values for Dickey-Fuller test with time trend There are many other unit root tests …;Spurious regression Regressing one I(1)-series on another I(1)-series may lead to extre-mely high t-statistics even if the series are completely independent Similarly, the R-squared of such regressions tends to be very high This means that regression analysis involving time series that have a unit root may generally lead to completely misleading inferences Cointegration Fortunately, regressions with I(1)-variables are not always spurious If there is a stable relationship between time series that, individually, display unit root behavior, these time series are called ?co-integrated“;Example for time-series that are potentially cointegrated;General definition of cointegration Two I(1)-time series are said to be cointegrated if there exists a stable relationship between them in the sense that Test for cointegration if the cointegration parameters are known Form residuals of the known cointegration relationship: Test whether the residuals have a unit root If the unit root can be rejected, are cointegrated;Example: Cointegration between interest rates (cont.) Testing for cointegration if the parameters are unknow