计量经济学导论ch18 课件.pptVIP

? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Chapter 18 Advanced Time Series Topics Wooldridge: Introductory Econometrics: A Modern Approach, 5e ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. 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 Under the null hypothesis, the process has a unit root. Under the alternative, it is a stable AR(1) process The test is based on an AR(1) regression Advanced Time Series Topics ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. Alternative Formulation of the Dickey-Fuller test Critical values for Dickey-Fuller test The alternative representation is obtained by subtracting y t-1 from both sides The critical value is much more negative than it would be in a t-distribution Advanced Time Series Topics ? 2013 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part. 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 The t-statistic is -2.46. As consequence, the null hypothesis of a unit root cannot be rejected Include lagged differences of dependent variable. Advanced