Regression modelEconometrics / time series
稳健增广迪基-福勒（ADF）单位根检验
稳健ADF单位根检验是对经典ADF程序的扩展，其改进之处在于纠正了由异方差或序列相关误差以及滞后长度选择不当引起的检验规模扭曲。该检验借鉴了广义最小二乘（GLS）去趋势法（Elliott, Rothenberg, and Stock 1996）和修正信息准则（Ng and Perron 2001），在宏观经济和金融时间序列中常见的非标准误差过程存在的情况下，仍能提供可靠的检验规模和功效。
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来源
- Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. DOI: 10.1111/1468-0262.00256 ↗
- Elliott, G., Rothenberg, T. J., and Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813-836. DOI: 10.2307/2171846 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Augmented Dickey-Fuller Unit Root Test. ScholarGate. https://scholargate.app/zh/econometrics/robust-adf-unit-root-test
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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