CAJ | 학술논문

在将误差修正过程设定为全局平稳的指数平滑转换函数的情形下，本文建立了一个新的检验统计量inf-t对非线性STAR误差修正模型中的协整关系进行检验；推导了inf-t统计量的渐近分布，并通过MonteCarlo模拟的方式给出了其渐近临界值。inf-t统计量取未识别参数空间上的下确界，有效避免了原假设下的未识别参数问题。MonteCarlo数值模拟研究的结果表明，inf-t统计量相对E_G两步法的￡雎和Kapetanios等（2006）的tNLECM统计量具有更高的检验势。将inf-t统计量应用于对我国货币需求稳定性进行检验，发现我国狭义货币需求量长期稳定，短期存在指数平滑非线性机制转换特征。
재장오차수정과정설정위전국평은적지수평활전환함수적정형하，본문건립료일개신적검험통계량inf-t대비선성STAR오차수정모형중적협정관계진행검험；추도료inf-t통계량적점근분포，병통과MonteCarlo모의적방식급출료기점근림계치。inf-t통계량취미식별삼수공간상적하학계，유효피면료원가설하적미식별삼수문제。MonteCarlo수치모의연구적결과표명，inf-t통계량상대E_G량보법적￡저화Kapetanios등（2006）적tNLECM통계량구유경고적검험세。장inf-t통계량응용우대아국화폐수구은정성진행검험，발현아국협의화폐수구량장기은정，단기존재지수평활비선성궤제전환특정。
This paper proposes a new statistic inf-t testing cointegration rela- tionship in a smooth transition vector error correction model that follows a globally stationary ESTAR error correction process. We derive the relevant asymptotic dis- tribution of the proposed test, and obtain critical values by Monte Carlo simula- tions. The inf-t statistic is the infimum over the unidentified parameter space, and overcome the unidentified parameter problem under null hypothesis. Monte Carlo simulation exercises confirm that our proposed test has much better power than E-G approach and tNtCMStatistic in Kapetanios et al. （2006） against the alternative of a globally stationary STAR cointegrating process. By testing the stability of money demand in China, we find that narrow money demand in China is stability in long term, but existence ESTAR nonlinear dynamic in short term_