| 协整回归残量平稳性的小波检验 |
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| 引用本文： | 苏晓丽,田铮,袁芳. 协整回归残量平稳性的小波检验[J]. 数理统计与管理, 2011, 30(1): 52-58 |
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| 作者姓名： | 苏晓丽 田铮 袁芳 |
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| 作者单位： | 西北工业大学应用数学,陕西,西安,710072 |
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| 基金项目： | 国家自然科学基金(No.60375003); 国家航空基础项目(No.03I53059); 西北工业大学科技创新基金(No.2007KJ01033) |
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| 摘 要： | 本文研究基于小波方法的协整回归残量平稳性检验。将文献[6]中的小波方法推广到了协整关系的检验,给出了对线性协整模型OLS回归后得到的残量进行平稳性检验的小波方法,得到了在原假设非协整下检验统计量的渐近分布。模拟实验和实例分析都验证了新方法的有效性。
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| 关 键 词： | 协整回归残量 平稳性检验 Harr小波 |
A Wavelets Test for the Cointegration Using Regression Residuals |
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| SU Xiao-li,TIAN Zheng,YUAN Fang. A Wavelets Test for the Cointegration Using Regression Residuals[J]. Application of Statistics and Management, 2011, 30(1): 52-58 |
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| Authors: | SU Xiao-li TIAN Zheng YUAN Fang |
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| Affiliation: | SU Xiao-li TIAN Zheng YUAN Fang (Department of Applied Mathematic,Northwestern Polytechnical University,Shaanxi Xi'an 710072,China) |
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| Abstract: | This paper considers the problem of a wavelet method to test the stationary of cointegrating regression residuals.We show that wavelets approach can be applied to cointegrating regression residuals leading to a residual-based test for the null hypothesis of no cointegration.The asymptotic distribution of the test is derived under the null hypothesis.Simulations and empirical applications show that the new test has more moderate size and power. |
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| Keywords: | cointegrating regression residuals test for the stationarity Harr wavelets |
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