摘要
将变结构协整分为参数变化型协整、部分变化型协整和机理变化型协整。对于机理变化型协整变结构,提出了基于Chow检验统计量的变结构协整检验和建模方法,证明了检验统计量的渐进性质。讨论了变结构点的估计方法与建模步骤。
In this paper, we proposed the concepts and types of cointegration with structural changes, and divided the cointegration with structural changes into three types of （1） cointegration with coefficients shift, （2） partially cointegration, and （3） cointegration with mechanismic changes, respectively. For the third type of cointegration with structure change, we developed Chow-type test statistics for testing cointegration with dimensional changes and the modeling procedure when the structure changes occur, and also, studied the asymptotic properties of the statistic. Finally, we discussed the estimation of break points and modeling procedure.
出处
《系统工程理论方法应用》
北大核心
2006年第1期61-64,共4页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目(79400014)
关键词
协整
变结构
机理变化型协整
CHOW检验
cointegration
structure changes
cointegration with dimensional changes
Chow test
