Journal of Chaohu University ›› 2022, Vol. 24 ›› Issue (3): 60-67.doi: 10.12152/j.issn.1672-2868.2022.03.009
WANG Xiao-qiang，JIANG Hai-feng：School of Business, Anhui University of Technology
To improve the power of unit root test, the left adjustment method is applied to construct the Wald joint
statistic and the distribution of statistic under the specific data generation process is also analyzed. Theoretical
research shows that the statistic converges to the functional of Wiener process in distribution under large sample
size, which is different from any of the existing statistic. Monte Carlo simulation shows two conclusions: first, the
quantile of left adjusted Wald joint statistic decreases with the increase of sample size, and is less than that of
corresponding unadjusted Wald joint statistic; second, the left adjusted Wald joint statistic not only has a
satisfactory size level, but also owns the test power no less than that of the unadjusted Wald joint statistic. The
results of this research can help improve the unit root joint test method and provide a new test method for empirical
research, which enriches the theory of unit root test process.
unit root process,
Wald joint statistic,
Monte Carlo simulation
WANG Xiao-qiang, JIANG Hai-feng. Research on Wald Joint Test with Left Adjustment of Unit Root[J].Journal of Chaohu University, 2022, 24(3): 60-67.
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