| 引用本文: | 杨 政,田 铮,原子霞.检验门限协整模型中的线性协整[J].控制理论与应用,2008,25(4):613~618.[点击复制] |
| YANG Zheng1;2, 1;3,,TIAN Zheng,YUAN Zi-xia.Testing the linearity in threshold co-integrating regressions[J].Control Theory and Technology,2008,25(4):613~618.[点击复制] |
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| 检验门限协整模型中的线性协整 |
| Testing the linearity in threshold co-integrating regressions |
| 摘要点击 1391 全文点击 1718 投稿时间：2006-11-21 修订日期：2007-05-28 |
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| DOI编号 |
| 2008,25(4):613-618 |
| 中文关键词 门限 协整 SupLM检验 非线性 非平稳性 广义的自回归条件异方差(GARCH) |
| 英文关键词 threshold co-integration SupLM test nonlinear nonstationary GARCH |
| 基金项目 国家自然科学基金资助项目(60375003); 航空基础科学基金资助项目(03I53059); 西北工业大学科技创新项目(2007KJ01033). |
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| 中文摘要 |
| 考虑门限协整回归模型中线性的检验问题. 在原假设为线性协整的条件下, 构造了SupLM(supremum Lagrange multiplier)统计量, 并给出了极限分布. Monte Carlo实验研究了SupLM检验的有限样本性能, 结果表明SupLM检验不受回归误差的序列相关性影响, 也不受广义的自回归条件异方差GARCH(generalized autoregressive conditional heteroskedastic)的影响. 应用SupLM检验方法检测美国国库券收益率之间的关系, 结果表明不同到期时间的国库券收益率之间存在门限协整关系. |
| 英文摘要 |
| A testing procedure is proposed to distinguish the linearity from co-integration regressions with threshold effect. A SupLM test is presented for the null of linear co-integration; the null limiting distribution is then derived, and the asymptotic critical values are simulated. Moreover, the performance of the test is studied by using Monte Carlo simulation, which proved that the test works quite well. It is clearly shown that the SupLM test has good finite sample properties, even in the presence of serial correlation of regressor-error or the errors following the generalized autoregressive conditional heteroskedastic (GARCH) processes. Finally, the feasibility of the proposed test is illustrated by examining the threshold nonlinearity of co-integrating regression for U.S. treasury yield curve rates. |
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