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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0207104-023146 |
| Date | 07 February 2004 |
| Creators | Chuang, Chien-Min |
| Contributors | Chingnun Lee, Szu-Lang Liao, Shul-John Li |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0207104-023146 |
| Rights | unrestricted, Copyright information available at source archive |
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