摘要
用蒙特卡罗（ＭｏｎｔｅＣａｒｌｏ）模拟方法着重研究了样本容量在５５以下的ＤＦ统计量的分布特征，并给出检验水平分别为０．０１，０．０５和０．１的ＤＦ检验临界值表并对小样本ＤＦ检验的功效作出分析．因为在有些国家以年为单位的经济时间序列的最大可观测个数并不是很大，所以小样本ＤＦ统计量分布的研究尤其有重要意义．
In this paper we investigated the DF distribution with sample size under 55 by Monte Carlo simulation and gave a critical table for DF tests with test level of 0.01, 0.05 and 0.1. We also analyzed the test power of DF statistic in small samples. Because the maximum observations of annual economic time series for some countries are not so large, the research on small sample distribution of DF and ADF statisticis is very necessary.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
1999年第3期31-37,共7页
Systems Engineering-Theory & Practice
基金
国家教委博士点基金
