The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process

• Main Authors: Chien-Min Chuang, 莊建民
• Other Authors: Chingnun Lee
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/42184120549188372665

碩士 === 國立中山大學 === 經濟學研究所 === 92 === In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003). Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance''s variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion by the Monte Carlo experiments.