Análise do Valor p Determinado pela Estatística τ na Aplicação do Teste de Dickey-Fuller Aumentado

A. G. Silveira, V. L. D. Mattos, L. R. Nakamura, M. C. Amaral, A. C. Konrath, A. C. Bornia

Abstract


O presente artigo avaliou a interferência da quantidade de defasagens utilizadas no resultado do valor-p associado à estatística utilizada no teste de Dickey-Fuller aumentado (ADF), bem como identificou algumas propriedades das séries estudadas que interferem em seu resultado. Foram realizados três experimentos com séries de diferentes amplitudes, considerando estrutura do modelo em relação à presença ou não de constante e/ou tendência, e quantidade de defasagens como fatores. Modelos autorregressivos do tipo AR(1) foram considerados para a geração de dados pelo método de Monte Carlo, que poderiam apresentar diferentes intensidades para o coeficiente associado à primeira defasagem. Depois da aplicação do teste ADF, foram determinadas as proporções de rejeição da hipótese nula em cada condição experimental, sendo utilizada uma análise de variância com a estatística qui-quadrado para verificar a influência da quantidade de defasagens no valor-p. Os resultados mostram que se houver raiz unitária, o teste apresenta bons resultados, independentemente da quantidade de defasagens considerada. Entretanto, o mesmo não foi observado nos casos em que a série temporal não apresenta raiz unitária.


Keywords


Estacionariedade; raiz unitária; séries temporais; teste ADF

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DOI: https://doi.org/10.5540/tcam.2022.023.02.00283

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