具有多个协整关系的阈值协整系统的协整秩检验

Q Mathematics Statistical Methodology Pub Date : 2015-09-01 DOI:10.1016/j.stamet.2015.04.001

Jaya Krishnakumar, David Neto

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引用次数: 4

摘要

本文研究了具有多个协整关系的阈值VECM的估计和推理，从而扩展了迄今为止在这方面的文献大多只考虑一个协整关系。然后，我们继续为阈值VECM中协整关系的数量开发一个适当的测试。我们的检验统计量的渐近分布被导出并制成表格。研究了所提出的测试方法的有限样本性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

This paper is concerned with the estimation and inference for a threshold VECM with more than one cointegrating relation thus extending the literature in this context which has mostly considered only one cointegrating relationship so far. We then go on to develop an appropriate test for the number of cointegrating relationships in a threshold VECM. Asymptotic distributions of our test statistics are derived and tabulated. Finite sample performance of the proposed testing procedure is investigated.

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来源期刊

Statistical Methodology STATISTICS & PROBABILITY-

CiteScore

0.59

自引率

0.00%

发文量

期刊介绍： Statistical Methodology aims to publish articles of high quality reflecting the varied facets of contemporary statistical theory as well as of significant applications. In addition to helping to stimulate research, the journal intends to bring about interactions among statisticians and scientists in other disciplines broadly interested in statistical methodology. The journal focuses on traditional areas such as statistical inference, multivariate analysis, design of experiments, sampling theory, regression analysis, re-sampling methods, time series, nonparametric statistics, etc., and also gives special emphasis to established as well as emerging applied areas.