论文标题
基于残差的非参数差异比率测试进行协整
A Residuals-Based Nonparametric Variance Ratio Test for Cointegration
论文作者
论文摘要
本文将Breitung的《计量经济学杂志》 108，343-363引入了渐近理论，当应用于回归残差时，非参数差异比率单位根检验。该测试既不需要数据中相关结构的规范，也不需要调整参数的选择。与流行的基于残差的无综合测试相比，方差比测试不容易大小扭曲，但具有较小的局部渐近功率。但是，本文表明，局部渐近功率特性并不是有限样品中基于残差的无综合测试功率的有用指标。在尺寸校正的功率方面，方差比测试的性能相对较好，尤其是没有检测到的功率逆转问题，例如，常用的增强型dickey-fuller type type notegentration测试。对加密货币的每日价格的应用说明了在实践中的方差比率测试的有用性。
This paper derives asymptotic theory for Breitung's (2002, Journal of Econometrics 108, 343-363) nonparameteric variance ratio unit root test when applied to regression residuals. The test requires neither the specification of the correlation structure in the data nor the choice of tuning parameters. Compared with popular residuals-based no-cointegration tests, the variance ratio test is less prone to size distortions but has smaller local asymptotic power. However, this paper shows that local asymptotic power properties do not serve as a useful indicator for the power of residuals-based no-cointegration tests in finite samples. In terms of size-corrected power, the variance ratio test performs relatively well and, in particular, does not suffer from power reversal problems detected for, e.g., the frequently used augmented Dickey-Fuller type no-cointegration test. An application to daily prices of cryptocurrencies illustrates the usefulness of the variance ratio test in practice.
