| 基于周期异方差季节单位根的加权估计与检验 |
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| 引用本文： | 肖燕婷.基于周期异方差季节单位根的加权估计与检验[J].数学的实践与认识,2008,38(8):122-126. |
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| 作者姓名： | 肖燕婷 |
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| 作者单位： | 西安理工大学理学院应用数学系,陕西西安,710048 |
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| 摘 要： | 为检验周期异方差的季节单位根模型,基于加权最小二乘估计,提出检验统计量,并在原假设下得到检验统计量的极限分布,与各个季节的周期异方差无关,是标准Wiener过程的泛函.模拟结果和实例分析都表明了用该方法检验季节单位根模型的有效性.
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| 关 键 词： | 周期异方差 季节单位根 加权最小二乘估计 |
| 修稿时间： | 2007年8月2日 |
Weighed least square Tests for Seasonal Unit Roots in Periodical Heteroscedastic Time Series |
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| XIAO Yan-ting.Weighed least square Tests for Seasonal Unit Roots in Periodical Heteroscedastic Time Series[J].Mathematics in Practice and Theory,2008,38(8):122-126. |
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| Authors: | XIAO Yan-ting |
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| Abstract: | We propose test statistics based on weighed least square estimators for unit root with periodical heteroscedastic shocks in seasonal time series.Under null hypothesis,the limit distributions of statistics which are functional of standard Wiener process are obtained regardas of periodical heteroscedasticity.Monte Carlo simulation and a real example show the validity of this test method. |
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| Keywords: | periodical heteroscedasticity(PH) seasonal unit root weighed least square estimation |
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