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Testing for Unit roots Consider an AR(1): y=a+p +e,t Let Ho: p=1, (assume there is a unit root) Define 0=p-1 and subtract y, from both sides to obtain Ay,=a+ B+e, Unfortunately, a simple t-test is inappropriate, since this is an I(1) process ADickey-Fuller Test uses the t-statistic, but different critical values Economics 20- Prof anderson

证明du(x,y)=(x,y)dx+(x,y)dy,其中

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(1)FIRSTVT集 FIRSTVT(P)={a|Pa…,或PQa…,aVT ,Q VN} 若P→a…或P→Qa…, 则aFIRSTVT(P); 若P→Q…, 则FIRSTVT(Q)FIRSTVT(P); 直至FIRSTVT(P)不再增大