协整检验的DGP识别

本文用数值模拟的方法比较了不同DGP下协整检验迹统计量的分布特征，分析DGP误设对协整检验结果的重大影响；进而利用我国货币市场和股票市场的数据进行实证分析，通过真实的例子，揭示DGP误设可能导致的各种错误结果。实证分析中还进一步使用递归协整检验和协整关系的约束识别检验，从不同角度显示了协整关系检验结论的稳健性和可靠性。

DGP Identification on Cointegration Inference

This paper compares the distributional characteristic of trace statistics under different DGP and analyzes the important roles of DGP misspecification on cointegration inference by utilizing simulation and the data from Chinese money market and stock market. Recursive cointegration technique and parameter's restricted inference are also employed to test the robustness and reliability of the cointegration inference.