含内生结构突变的STR模型检验及应用研究

文章研究了含内生结构突变的平滑转换(STR)模型的检验问题,依据特殊一一般一特殊的建模原则给出了检验过程及对应的检验统计量SupLM,Monte Carlo模拟表明各检验统计量的检验功效较高。文章提出的建模过程和检验统计量能检测出非线性和结构突变同时或者单独一种存在时的情形。结构突变或者非线性特征越明显,相应的检验统计量功效越高,相对而言,针对结构突变的检验功效高于非线性检验功效。最后,应用含结构突变的ESTR模型探讨了人民币对美元汇率的收益变化特征,发现新汇改以来汇率收益序列不单有结构突变,也存在非线性。

Tests and Application of STR Model with Endogenous Structural Break

This paper studies the testing problem of smooth transition (STR) model with endogenous structure break.According to the specific-general-specific modeling principle we give the corresponding test statistics SupLM.Monte Carlo simulations reveal all the test statistics have higher power.Modeling process and the test statistics we propose can be used both for describing simultaneous nonlinearity and structural break and for distinguishing between these features.The more obvious structure break or non-linear characteristics,the higher power of the corresponding test statistics.In contrast,test power of a structural break is higher than that of nonlinearity.Finally,ESTR model with structural break was applied to analyze characteristics of RMB against US dollar exchange rate yield.There are not only structural break but also non-linearity with exchange rate yield after the new exchange rate regime reform.