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基于LSTAR模型的非线性协整检验
引用本文:丁东洋,周丽莉.基于LSTAR模型的非线性协整检验[J].统计与信息论坛,2012,27(9):20-25.
作者姓名:丁东洋  周丽莉
作者单位:1. 南昌大学公共管理学系,江西南昌,330031
2. 南昌大学经济与管理学院,江西南昌,330031
基金项目:全国统计科研计划项目《小域估计理论及其在我国统计调查中的应用》
摘    要:大量的经济理论和实践都表明,宏观经济时间序列经常会出现非平稳和非线性特征,因而在统计分析时,需要进行非线性协整检验。基于逻辑平滑转换自回归(LSTAR)模型将传统的线性协整表述方法拓展为非线性形式,构造实用的检验程序及合适的统计量,利用软件R进行蒙特卡洛模拟给出非线性协整检验统计量的临界值,并通过实际数据分析购买力平价动态系统的非线性协整关系,说明方法的有效性。

关 键 词:非线性协整  LSTAR模型  蒙特卡洛模拟  渐近分布

Nonlinear Cointegration Test Based on LSATR Model
DING Dong-yang , ZHOU Li-li.Nonlinear Cointegration Test Based on LSATR Model[J].Statistics & Information Tribune,2012,27(9):20-25.
Authors:DING Dong-yang  ZHOU Li-li
Institution:b(a.Department of Public Administration; b.School of Economics and Management,Nanchang University,Nanchang 330031,China)
Abstract:A lot of economic theory and practice have shown that there are often non-stationary and nonlinear characteristics in the macroeconomic time series,and thus need for nonlinear cointegration in the statistical analysis.The nonlinear form is extended form traditional linear cointegration presentation based on the LSTAR model,then construct a practical test procedures and the appropriate statistic,give critical value of nonlinear cointegration test statistic through Monte Carlo simulation by use of software R,and show the effectiveness of the method by analysis of nonlinear cointegration relationship of actual data in dynamic system of purchasing power parity.
Keywords:nonlinear cointegration  LSTAR model  Monte Carlo simulation  asymptotic distribution
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