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柚柚_柚 · 2020年05月31日

问一道题:NO.PZ2020011101000022 [ FRM I ]

问题如下:

What are the consequences of excluding a deterministic term in an ADF test if it is needed? What are the consequences of including an extra deterministic term that is not required to fit the data?

解释:

Excluding required deterministic terms makes it harder to reject the null, and the power of the test will fall towards zero. On the other hand, including superfluous deterministic terms skews the distribution to the left and also reduces the power of the test.

什么是ADF test ?而且为什么左偏呢
1 个答案
已采纳答案

小刘_品职助教 · 2020年05月31日

同学你好,

ADF 检验如下图所示。左偏这个只要了解即可,超纲了,是原版书介绍的一个结论,没有深入讲解。