概念
随机游走 yₜ = yₜ₋₁ + εₜ 含有单位根，冲击不会消散。
📌 一览
- 方法
- ADF、PP、KPSS
重要性
单位根序列直接回归易产生伪回归。
解读
ADF统计量小于临界值则拒绝原假设，序列平稳；I(1)序列可差分或进行协整检验。
ADF与KPSS结论可能矛盾。这往往意味着检验功效不足或存在结构突变。
常见问题
- 用什么软件？
- Python的statsmodels，R的urca、tseries等。
参考文献
- Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431.
- Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
- Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
- Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178.
- Nelson, C. R., & Plosser, C. I. (1982). Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10(2), 139–162.