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(5) Abstract In recent years the bootstrap unit root tests have become increasingly popular and they have been applied to a wide range of topics, including nonstationary time series. In this paper we review the basic knowledge of the unit root tests and. 库. the bootstrap. We mainly discuss general methods and theories of the bootstrap. 要. DF tests and the bootstrap ADF tests. We summarize the latest achievements of the bootstrap unit root tests, including detrending bootstrap unit root tests.. 摘. On the basis of theory, we use the method of Monte-Carlo Simulation to do lots. 文. of empirical analysis. We compare the differences between the DF tests and the. 论. bootstrap DF tests and differences between the ADF tests and the bootstrap ADF tests on the rejection probabilities and the power of test. We use the unit. 士. root tests and the bootstrap unit root tests to analyze the national debt rates. 硕. and the Chinese GDP dates during the period from 1978 to 2009. We prove the. 博. superiority of the bootstrap from the angle of probability.. 学. Key words:Bootstrap Unit Root Tests; Bootstrap DF Test; Bootstrap ADF. 厦. 门. 大. Test.. ii.

(6) 8¹ ¥©Á‡ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i =©Á‡ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .ii 1˜Ù Úó . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1. 库. §1.1 ïĵ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1. 要. §1.2 ©̇óŠ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 摘. §1.3 ©( . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 1Ù ïÄnØ9{ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 文. §2.1 ý£ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4. 论. §2.2 gÏü Šu{ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19. 士. §2.3 gÏDFu u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 §2.4 gÏADFu u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22. 硕. §2.5 Gت³ü Šu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26. 博. 1nÙ ¢y©Û . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31. 学. §3.1  [' . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31. 大. §3.2 ¥I IÅ|Ç©Û . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 §3.3 ¥IGDP© ©Û . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35. 门. 1oÙ o(†Ð" . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38. 厦. ë©z . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .39 — . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42. iii.

(7) Contents Abstract (in Chinese) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i Abstract (in English) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii Chapter 1 Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1. 库. §1.1 Research Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1. 要. §1.2 Main Works . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 摘. §1.3 Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. Chapter 2 Research Theory and Method . . . . . . . . . . . . . . . . . . . . . 4. 文. §2.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4. 论. §2.2 Bootstrap Unit Root Tests Method . . . . . . . . . . . . . . . . . . . . . . . . . 19. 士. §2.3 Bootstrap DF Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 §2.4 Bootstrap ADF Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22. 硕. §2.5 Detrending Bootstrap Unit Root Tests . . . . . . . . . . . . . . . . . . . . . 26. 博. Chapter 3 Demonstrational Analyses . . . . . . . . . . . . . . . . . . . . . . . . . 31. 学. §3.1 Simulation Compare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31. 大. §3.2 Chinese National Debt Rates Analyses . . . . . . . . . . . . . . . . . . . . . 34 §3.3 Chinese GDP Analyses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35. 门. Chapter 4 Conclusion and Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38. 厦. References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 Acknowledgements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42. iv.

(8) gÏü Šu. 1. 1˜Ù Úó §1.1 ïĵ ü ŠužmSü ŠïÄ´žmS©Û˜‡9:¯K. žmS ÝA5žC1¢Sþ‡N žmSš²­5Ÿ. 隲­žmS. 库. ?n{˜„´òÙ=C²­S, ùҌ±A^k'²­žmS. 要. {5?1ƒAïÄ. éžmSü ŠuÒ´éžmS²­5u. 摘. , š²­žmSXJ3ü Š, K˜„Œ±ÏL ©{5žØü  Š, ²­S. éu3ü ŠžmS, ˜„Ñw«Ñ²wPÁ5Ú. 文. ÅıY5, Ïdü Šu´?Øk''X35uÚSÅı. 论. Y5?ØÄ:. 3¢S²LÚ7K+k2A^. ˜„¿ÂþgÏ{ Ò´U­Ä{õgÄ, ?1u{. Ï~3ÕáÓ©Ù. 士. ¥­#Ä. ü Šu´éžmSu, ÏdXÛéžmS?1. 硕. ­#Ä´gÏü Šu¥7L‡)û¯K. ˜„kü«{, ˜«´©¬ Đ{, ,˜«´seiv{. 3. ©¥ò[0 .. 博. @3þ­Vlʛc“, <‚Òm© égÏü ŠïÄ, ¿ . 学. Œ U  ¤ Ò. R.L.Taylor(1991)[1] ? Ø ˜  g £ 8  .  g Ï {. Juan. 大. Romo(1993)[2] &? ˜g£8.gÏü Šu. égÏü ŠuŠÑÈ4. 5kŒþêÆ[. z, Joon Y.Park(2000)[3] , (2003)[4] éugÏü. 门.  ŠìC5Ÿ‰Ñ nØþy². A.M.Robert Taylor(2008)[5] ?Ø ‘k. 厦. š²­ÅÄǞmSü Šu. c'ugÏü Šu®²k´a¤J, )Giuseppe Cavaliere(2009)[6] g. ÏM u, Dilem Yildirim(2009)[7] š‚5€.gÏü Šu, Stephan. Smeekes(2009)[8] Gت³gÏü ŠŠu, ±9Nikolay Gospodinov(2009)[9] Ø.

(9) gÏü Šu. 2. ‘´GARCH(1, 1).gÏü Šu. gÏü ŠéžmS, kXéŒ`³. ÏLgÏ{­Ä Œþ, lŠþ‘Ö ü Šu3ìC5ŸþØv, 3c 7KžmS©Ûþ, kXÈ42A^. ~XXiao Qin(2006[10] )|^gÏ. 库. ê‰Åü Šu, ©Û †lÚ¸I’/½|&. gÏ{I‡²LõgÄ, OŽ„,. ‘XOŽÅEâׄuÐ, <‚®². 要. Œ±Ùö|^OŽÅ^‡?1gÏÄ, ?1©Û. ‘Xc­.²L„. 52$^.. 文. §1.2 ©̇óŠ. 摘. J, 7K/ 5­‡. Ïd, gÏü Šu37KžmS+þò. 论. o( c<óФJ, ̇0 gÏDFu, gÏADFu{Ún. 士. Ø. ±9cgÏü Šu#¤J, ̇´Gت³gÏü Šu.. 硕. †yk©zƒ', ©̇óŠ3ue¡ü:µ 1˜, 3c<Ä:þ, o( gÏü ŠunØ£, XÚ/ã g. 博. Ïü Šu˜„5{ÚÚ½.. 学. 1, Ӟéü ŠÚgÏü ŠuáýVÇÚuõ?1', ½ þé' ü«{ É5, `² gÏ{`³. ^ü ŠuÚgÏü . 大. Šuü«{©Û ¥I{cIÅ|ÇÚGDPêâ, y gÏü Šu. 厦. 门. Ün5.. §1.3 ©(. ©(SüXeµ 1˜Ù, 0 ïĵ, {ü`²©¤‰̇óŠ, ‰Ñ©(ÚÓ. +..

(10) gÏü Šu. 3. 1Ù, äNnØÚïĐ{. Äk, 0 gÏ{ÄSN§±9ü Š u¥~„A«u, )DFu, ADFu, Phillips-Perronu, Mu. Ùg, o( gÏDFuÚgÏADFunØÚÚ½. . , 0 c#. ïĤJ¥Gت³ü Šu.. 库. 1nÙ, ©|^R^‡, „AkÛ[{Úgϐ{?1¢y©Û. ÏL [éDFuÚgÏDFu3ØÓwÍ5Y²eáýVÇÚuõ?1'. , À 2001c2008co›oÏ. 摘. SáýVÇÚuõ?1'. . 要. , ±9ADFuÚgÏADFu30.05wÍ5Y²e, éu ©‘ëêØÓ. IÅ|ÇêâÚ1978c–2009c¥IGDPêâ, |^‘kª³ADFu. 文. ÚgÏADFu, ©Û §‚ˆgü Šu(J.. 厦. 门. 大. 学. 博. 硕. 士. 论. 1oÙ, o(ÚÐ"..

(11) gÏü Šu. 4. 1Ù ïÄnØ9{ §2.1 ý£ 2.1.1 bootstrap {[11]. 库. 2.1.1.1 šëêbootstrap { oN©ÙF ™, ®²k˜‡Nþn5g©ÙF êâ, gù˜. 要. U˜£Ä{ʇNþn, ù«¡bootstrap½. 摘. ¡gÏ. ƒU/, Õá/g©¥éõ‡bootstrap, |^ù. 文. éoNF ?1ÚOíä. ù«{¡šëêbootstrap{, q¡gÏ {. ù˜{Œ±^u<‚éoNƒ$œ¹, §´C“ÚO¥˜«^. 论. uêâ?n­‡¦^{. ù«{¢yI‡3OŽÅþŠŒþOŽ, ‘. 士. XOŽÅ%åO, §®¤˜«61{.. Ïïá.. 硕. bootstrap{´Efron320­V70c“. (˜ ˜) OþIOØ bootstrap O. 博. b „IÑù˜Oθ b 3OoN™ëêθž, <‚؇‰θOθ, q. b. q. b D(θ)¡Oþ θb IOØ .. 大. θb =. 学. b b °Ý, Ï~·‚^Oþθb IO D(θ)5ÝþO°Ý. OþθIO. X1 , X2 , · · ·, Xn ´5g±F (x)©Ù¼êoN, θ´·‚a,. 门. b b ™ëê, ^θb =θ(X 1 , X2 , · · ·, Xn )ŠθOþ. 3A^¥θÄ©Ù~´é. 厦. J?n. ù, q. q. b D(θ)~vk˜‡{üLˆª, ØL·‚Œ±^OŽÅ[. b d, gF )éõNþB, éuz˜‡ {5¦ D(θ)O..

(12) gÏü Šu b OŽθŠ, θc1 §θc2 , · · · · · ·§θcn K v u u σb = t. 5O, Ù¥θ =. 1 B. PB. b. i=1 θi .. ,. q. 5. b D(θ)Œ±^. B 1 X (θbi − θ)2 , B − 1 i=1. (2 − 1). F ~~´™, ùÒÃ{)[, Ø. 库. U(2 − 1)ª(J, I‡, {. y3©ÙF ™, x1 , x2 , · · ·, xn ´5gF Š, Fn ´ƒA²©Ù. 要. ¼ ê, né Œ ž, Fn  CF („ ‚ p f ‰ ½ n), · ‚ ^Fn “ O þ ˜ ã ¥ F ,. 摘. 3Fn ¥Ä. 3Fn Ä, Ò´3©x1 , x2 , · · ·, xn ¥zg‘Å/˜‡‡ N‰˜£Ä. Xd˜‡Nþnx∗1 , x∗2 , · · ·,x∗n . ùÒ´1˜ã¤. 文. b `bootstrap. ^bootstrapUþ˜ãOŽOθ(x 1 , x2 , · · ·, xn )@¦ b ∗ , x∗ , · · ·, x∗ ). Oθb∗ ¡θbootstrapO. ÑθOθb = θ(x n 2 1. 论. ∗. 士. ƒU/!Õá/ÄB‡bootstrap, ¿ ±ù ©O¦Ñθƒ AbootstrapOXe:. 硕. bootstrap1 x∗11 , x∗21 , · · ·, x∗n1 , bootstrapOθb1∗. 博. bootstrap2 x∗12 , x∗22 , · · ·, x∗n2 , bootstrapOθb2∗ .. .. .. . . .. 学. ∗ bootstrapB x∗1B , x∗2B , · · ·, x∗nB , bootstrapOθbB. q. 门. 大. b b Ò± KθIOØ D(θ),. ∗. 厦. 5O. Ù¥θ = B1. v u u σb = t PB. B 1 X ∗ (θb∗ − θ )2 , B − 1 i=1 i. (2 − 2). q. b∗ b i=1 θi , (2 − 2)ªÒ´ D(θ)bootstrapO.. q. b nþ¤ã¦ D(θ)bootstrapOÚ½´:. 1◦ , g©êâx = (x1 , x2 , · · ·, xn )U˜£Ä{, ÄNþn x = (x∗1 , x∗2 , · · ·, x∗n )(¡bootstrap)..

(13) gÏü Šu. 6. 2◦ , ƒ U / ! Õ á / ¦ ÑB‡(B≥1000)N þ nbootstrap , x∗i = (x∗1i , x∗2i , · · ·, x∗ni ),i = 1, 2, · · ·, B. é u 1i‡bootstrap , · ‚ O Ž Ñθbi∗ = b ∗i , x∗i , · · ·, x∗i ),i = 1, 2, · · ·, B. (θb∗ ¡θ1i‡bootstrapO) θ(x 1 2 i n. 3◦ , OŽ q. 1 B−1. PB. b∗ i=1 (θi. ∗. ∗. − θ )2 ,Ù¥θ =. 1 B. PB. b∗ i=1 θi .. 库. σb =. 要. ( ) OþþØ 9  bootstrap O. 摘. X = (X1 , X2 , · · ·, Xn )´5goNF , F ™, R = R(X)´a,. 文. ‘ÅCþ, §6uX. b·‚F"OR©Ù, A. ~XR êÆÏ"EF (R), Ҍ±Uìþ¡¤`n‡Ú½1◦ , 2◦ , 3◦ ?1, ´32◦ ¥. 论. éu1i‡bootstrapx∗i = x∗1i , x∗2i , · · ·, x∗ni , OŽRi∗ = R(x∗i )“OOŽθi∗ , . 士. 33◦ ¥OŽa,RA, ~XXJF"OEF (R), ÒOŽ B 1 X Ri∗ . B i=1. 博. (n n) bootstrap˜ ˜& « m. 硕. E∗ (R∗ ) =. 学. e¡0 ˜«¦™ëêθbootstrap˜&«m{.. 大. X = (X1 , X2 , · · ·, Xn )´5goNF Nþn, x = (x1 , x2 , · · ·, xn )´ b ˜‡®Š, F ¥¹k™ëêθ, θb = θ(X 1 , X2 , · · ·, Xn )´θOþ, y. 门. 35¦θ˜&Y²1 − α˜&«m.. 厦. ƒU/!Õá/lx = (x1 , x2 , · · ·, xn )¥ÄB‡Nþnbootstrap. ∗ . ò§‚g , éuz‡bootstrap¦ÑθbootstrapO: θb1∗ , θb2∗ , · · ·, θbB. ŒüS,  ∗ ∗ ∗ . ≤· · ·≤θb(B) ≤θb(2) θb(1).

(14) gÏü Šu. 7. b ^ é A R(X ∗ ) = θb∗  © Ù Š R(X) © Ù  C q, ¦ R(X) = θ, ∗ α, ¦ ÑR(X ∗ )©ÙCq© êθb∗α Úθb1− 2. 2. ∗ α ) = 1 − α. P (θb∗α <θb∗ <θb1− 2. (2 − 3). 2. Pk1 = [B ∗ α2 ], k2 = [B ∗ (1 − α2 )], 3(2)3)ª¥±θbk∗1 Úθbk∗2 ©OŠ©  2. 要. 2. 库. ∗ α O, Cqª êθb∗α Úθb1−. 摘. P (θbk∗1 <θb∗ <θbk∗2 ) = 1 − α,. u´dþªÒθ˜&Y²1 − αCq˜&«m(θbk∗1 , θbk∗2 ), ù˜«m¡. 文. θ˜&Y²1 − αbootstrap˜&«m. ù«¦˜&«m{¡© ê. 论. {.. 士. (o o) ^bootstrap-t{ {¦þе bootstrap ˜ & « m. 硕. X = (X1 , X2 , · · ·, Xn )´5goNF Nþn, x = (x1 , x2 , · · ·, xn )´ ˜‡®Š, þŠµÚ σ 2 þ™ëê, ·‚‡|^Šx5Oµ.. t=. 学. 博. ļê. x−µ √ , S/ n. (2 − 4). 大. boNF äk©Ù, džt©Ù†ëêµÃ', §´˜‡Í¶þ, kt∼t(n − 1), |^Ͷþt, ÒU¦µ˜&«m. y3, oNF Øäk. 门. © Ù,  Œ ytE ´ ˜ ‡ Í ¶ þ, , t © Ù Ò Ø ´t(n − 1)© Ù, e ¡ · ‚. 厦. ^bootstrap{5¦µCq˜&«m. ±  ©  x = (x1 , x2 , · · ·, xn )   þ Šx= n1. †tƒAͶþ. i=1 xi Š µ  O,. Ä. ∗. X −x W = ∗ √ , S / n ∗. Pn. (2 − 5).

(15) gÏü Šu. 8. ∗. d?X , S ∗ ©OX, SƒAbootstrapþІIO . ^W ∗ ©ÙC ∗ α, ¦ qt©Ù, ¦ÑW ∗ Cq© êw∗α , w1− 2. 2. ∗. P {w∗α <. X −x ∗ √ <w1− α } = 1 − α, ∗ 2 S / n. P {w∗α <. X −x ∗ √ <w1− α } = 1 − α, 2 S ∗/ n. 2. ∗. ½=. 摘. S ∗ ∗ α √ <µ<X − w α } = 1 − α. P {X − w1− 2 2 n. 库. u´Cqk. (2 − 6). 要. 2. 文. òW ∗ B‡bootstrapŠgŒüS. (2 − 7). 论. ∗ ∗ ∗ . ≤· · ·≤w(B) ≤w(2) w(1). 士. ∗ ∗ Pk1 = [B ∗ α2 ],k2 = [B ∗ (1 − α2 )], 3(2)7)ª¥±w(k Úw(k ©OŠ©  1) 2) ∗ α O, d(2)7)ªCqª êw∗α , w1− 2. 硕. 2. (2 − 8). 博. S S ∗ ∗ √ <µ<X − w(k √ }, P {X − w(k 2) 1) n n. 大. 学. d(2)8)ªµ˜&Y²1 − αbootstrap˜&«m S S ∗ ∗ √ , X − w(k √ ). (X − w(k 2) 1) n n. 门. ù˜{¡bootstrap-t{.. 厦. ^ š ë êbootstrap {, v k b  ¤ ï Ä  o N  © Ù ¼ êF  / ª,. bootstrap´5g®êâ(©), ¤±¡šëêbootstrap{..

(16) gÏü Šu. 9. 2.1.1.2 ëêbootstrap { b¤ïÄoN©Ù©Ù¼êF (x; β)/ª®, Ù¥¹™ë êβ(⌱´•þ). y3®k˜‡5gF (x; β). 库. X1 , X2 , · · ·, Xn . b 3F (x; β)¥±β“OβF b b |^ù˜¦ÑβŒq,Oβ. (x; β),. 文. ∗. 摘. b X1 , X2∗ , · · ·, Xn∗ ∼F (x; β).. 要. b X3F (x; β)¥)Nþn. ù«Œ±)éõ‡. ~X)B‡(B≥1000). Ҍ±|^ù . 论. éoN?1ÚOíä, ى{†šëêbootstrap{˜, ù«{¡ë. 士. êbootstrap{.. 硕. 2.1.2 ü Šu. 博. ü ŠL§=I(1)L§, I(1)L§˜ ©²­L§, «OI(0)ÚI(1)L §˜„uѱI(1)b, duvkïÄ< ÊHÉäkÐk. 学. 5Ÿ±I(0)bu, ùṗ?ØbI(1)u. ~^. 大. ukDFu, ADFu, Phillipsu, Mu.. 门. 2.1.2.1 DF u[12]. 厦. (˜ ˜) v k  å Ú ž m ª ³  œ / êâ)¤L§(DGP): yt = yt−1 + ut ,. Ù¥ut ´i.i.d.þŠ0,  σ 2 .. (2 − 9).

(17) 厦. 门. 大. 学. 博. 硕. 士. 论. 文. 摘. 要. 库. Degree papers are in the “Xiamen University Electronic Theses and Dissertations Database”. Full texts are available in the following ways: 1. If your library is a CALIS member libraries, please log on http://etd.calis.edu.cn/ and submit requests online, or consult the interlibrary loan department in your library. 2. For users of non-CALIS member libraries, please mail to [email protected] for delivery details..

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