数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2010年
6期
151~160
,共null页
协整 平滑转换 Wald检验 模拟计算 期货价格
協整 平滑轉換 Wald檢驗 模擬計算 期貨價格
협정 평활전환 Wald검험 모의계산 기화개격
Cointegration; Exponential Smooth Transition; Wald Test; Simulated Experiments; Furtures Price
在解释变量内生和误差序列相关的指数平滑转换协整回归模型中，研究协整关系属于线性协整还是指数平滑协整的Wald检验方法。在用泰勒展开替代指数函数得到的辅助回归模型中，应用超前和滞后方法解决误差序列的相关性和解释变量的内生性，得到Wald统计量的极限分布收敛于标准的x^2分布。模拟计算验证了Wald检验具有良好的有限样本性质。实证分析发现多种期货价格和现货价格之间具有非线性协整关系。
在解釋變量內生和誤差序列相關的指數平滑轉換協整迴歸模型中，研究協整關繫屬于線性協整還是指數平滑協整的Wald檢驗方法。在用泰勒展開替代指數函數得到的輔助迴歸模型中，應用超前和滯後方法解決誤差序列的相關性和解釋變量的內生性，得到Wald統計量的極限分佈收斂于標準的x^2分佈。模擬計算驗證瞭Wald檢驗具有良好的有限樣本性質。實證分析髮現多種期貨價格和現貨價格之間具有非線性協整關繫。
재해석변량내생화오차서렬상관적지수평활전환협정회귀모형중，연구협정관계속우선성협정환시지수평활협정적Wald검험방법。재용태륵전개체대지수함수득도적보조회귀모형중，응용초전화체후방법해결오차서렬적상관성화해석변량적내생성，득도Wald통계량적겁한분포수렴우표준적x^2분포。모의계산험증료Wald검험구유량호적유한양본성질。실증분석발현다충기화개격화현화개격지간구유비선성협정관계。
This paper develops Wald tests that can be uesd to test lineartiy in cointegrating exponential smooth transition regression models, which regressors and errors are assumed to be dependent both serially and contemporaneously. Replacing the exponential function by its Taylor approximation, the auxiliary regression model is estimated by ordinary least squares techniques. Based on leads and lags approach, the Wald statistic is proposed and standard chi-square distribution is derived. Simulated experiments indicate that the tests have reasonable finite sample properties. Empirical applications to spot and futures prices illustrate the paratical usefullness of the tests.
