《计量经济学导论》课件.ppt

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1、Chapter18AdvancedTimeSeriesTopicsWooldridge:IntroductoryEconometrics:AModernApproach,5eTestingforunitrootsForthevalidityofregressionanalysis,itiscrucialtoknowwhetherornotdependentorindependentvariablesarehighlypersistentDickey-FullertestOnecanusethet-statistictotestthehyp

2、othesis,butunderthenull,ithasnotgotthet-distributionbuttheDickey-FullerdistributionTheDickey-FullerdistributionhastobelookedupintablesUnderthenullhypothesis,theprocesshasaunitroot.Underthealternative,itisastableAR(1)processThetestisbasedonanAR(1)regressionAdvancedTimeSeri

3、esTopicsAlternativeFormulationoftheDickey-FullertestCriticalvaluesforDickey-FullertestThealternativerepresentationisobtainedbysubtractingyt-1frombothsidesThecriticalvalueismuchmorenegativethanitwouldbeinat-distributionAdvancedTimeSeriesTopicsExample:Unitroottestforthree-m

4、onthT-BillratesAugmentedDickey-FullertestTheaugmentedDickey-FullertestallowsformoreserialcorrelationThecriticalvaluesandtherejectionrulearethesameasbeforeThet-statisticis-2.46.Asconsequence,thenullhypothesisofaunitrootcannotberejectedIncludelaggeddifferencesofdependentvar

5、iable.AdvancedTimeSeriesTopicsDickey-FullertestfortimeseriesthathaveatimetrendCriticalvaluesforDickey-FullertestwithtimetrendTherearemanyotherunitroottests…Underthealternativehypothesisofnounitroot,theprocessistrend-stationaryAdvancedTimeSeriesTopicsEvenmorenegativeSpurio

6、usregressionRegressingoneI(1)-seriesonanotherI(1)-seriesmayleadtoextre-melyhight-statisticseveniftheseriesarecompletelyindependentSimilarly,theR-squaredofsuchregressionstendstobeveryhighThismeansthatregressionanalysisinvolvingtimeseriesthathaveaunitrootmaygenerallyleadtoc

7、ompletelymisleadinginferencesCointegrationFortunately,regressionswithI(1)-variablesarenotalwaysspuriousIfthereisastablerelationshipbetweentimeseriesthat,individually,displayunitrootbehavior,thesetimeseriesarecalled„co-integrated“AdvancedTimeSeriesTopicsExamplefortime-seri

8、esthatarepotentiallycointegratedSpreadbetweeninterestratesInterestratesof6-monthsbillandof3-mont