CAJ | 학술논문

针对频率统计方法存在不连续的置信区间以及在小样本情况下检验势比较低的问题。把非对称La-place分布表示成正态分布和指数分布的线性组合，推导了不同先验分布情况下参数的最大后验密度置信区间，并构造了分位回归单位根检验的贝叶斯因子，实现了对非平稳时间序列的局部单位根检验。仿真分析表明贝叶斯分位回归方法是一种稳健全面的单位根检验方法。对我国居民消费价格指数的实证研究发现，我国居民消费价格指数表现出局部的持续性，在分布的下尾部不受普通冲击的影响，但在分布的上尾部受普通冲击的影响。
침대빈솔통계방법존재불련속적치신구간이급재소양본정황하검험세비교저적문제。파비대칭La-place분포표시성정태분포화지수분포적선성조합，추도료불동선험분포정황하삼수적최대후험밀도치신구간，병구조료분위회귀단위근검험적패협사인자，실현료대비평은시간서렬적국부단위근검험。방진분석표명패협사분위회귀방법시일충은건전면적단위근검험방법。대아국거민소비개격지수적실증연구발현，아국거민소비개격지수표현출국부적지속성，재분포적하미부불수보통충격적영향，단재분포적상미부수보통충격적영향。
Classical tests for unit roots have been criticized for their unusual asymptotic theory leading to discon -nected confidence intervals and their lack of power in small samples .We develop a simple and efficient MCMC algorithm for fitting the dynamic quantile regression model based on a location-scale mixture representation of the asymmetric Laplace distribution .Moreover , we exploit the maximum posterior interval for different prior distribu-tion.The simulation result shows that Bayesian quantile regression method is a complete and robust method to test non-stationary for time series .An empirical application of the method modeling the China CPI index dynamic illustrates that there exists stock on upper tail of the distribution but not lower tail .