| 引用本文: | 黄 维,田 铮,党怀义.平滑转移向量误差修正模型的非线性调节bootstrap检验[J].控制理论与应用,2009,26(5):499~504.[点击复制] |
| HUANG Wei,TIAN Zheng,DANG Huai-yi.Bootstrap testing for nonlinear adjustments in error-correction models of nonsmooth transition vector[J].Control Theory and Technology,2009,26(5):499~504.[点击复制] |
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| 平滑转移向量误差修正模型的非线性调节bootstrap检验 |
| Bootstrap testing for nonlinear adjustments in error-correction models of nonsmooth transition vector |
| 摘要点击 1733 全文点击 1333 投稿时间：2007-03-14 修订日期：2008-12-03 |
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| DOI编号 10.7641/j.issn.1000-8152.2009.5.006 |
| 2009,26(5):499-504 |
| 中文关键词 平滑转移 非线性调节 未识别量 bootstrap |
| 英文关键词 smooth transition nonlinear adjustment non-identification bootstrap |
| 基金项目 国家自然科学基金项目(60375003); 航空基础科学基金项目(03I53059); 西北工业大学 科技创新基金项目(2007KJ0103). |
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| 中文摘要 |
| 对原假设为线性不含平滑转移均衡趋势关系的两类平滑转移向量误差修正模型提出了非线性调节检验;提出了检验这类非线性调节关系的SupWald检验、相应的渐近分布和残差bootstrap方法模拟p值. 模拟实验中证实了有限样本下SupWald检验统计量的良好效用, 并给出了其适用范围, 进而应用该方法检验出几组美国国库券收益率间存在明显的平滑转移非线性调节. |
| 英文摘要 |
| Nonlinear adjustment tests are presented for the error-correction models of two types of transition vectors with null hypothesis of linear and nonsmooth transition relationship The SupWald type test is adopted for testing the nonlinear adjustment, and the null asymptotic distribution of which is derived. The approach for simulating the p-values is then given. A residual bootstrap approximation is also presented. Finally, the simulation shows the desired performance with finite samples, and specifies the range of application. Applying the proposed methods to the U.S. treasury, we found the strong evidence for nonlinear adjustment. |