作 者: ;
机构地区: 暨南大学
出 处: 《统计研究》 2009年第3期81-91,共11页
摘 要: 本文系统梳理了十多年来非线性协和理论与方法的研究进展,从非线性协和概念的提出开始,对目前已给出的非线性协和的各种不同定义、具有非线性结构的时间序列的非平稳性检验、非线性协和关系的检验、非线性协和模型的参数与非参数估计方法、门限协和模型以及非线性误差修正模型的研究状况进行了总结。 This paper provides an overview of the development of studies on the theory and methods of nonlinear eointegration until quite recently, including the concept and definition of nonlinear eointegration, the testing methods for nonstafionarity of time series with nonlinear structure and for nonlinear cointegrating relationships, the parametrical and nonparametrical estimation methods for nonlinear cointegrating models, threshold cointegration model, and nonlinear error correction models.
领 域: []