考虑线性趋势平稳过程:yt = bt + ρyt-1 + ut,y0 = 0,ut = θut-1 + εt,ε0 = 0,εt~
iidN(0,1).其中,b = 0.1,ρ = {0,0.1,0.5,0.9},θ = {0,0.1,0.9},检验功
效模拟结果见表 4.10.
                   表 4.10  Wut 统计量与 Ts2 程序检验功效(线性趋势平稳情况)               %
                                      T = 100               T = 200
        ut            ρ