CAJ | 학술논문

针对经济变量的长期均衡和短期调节关系可能同时存在非线性的事实，扩展现有阈值协整模型，提出协整向量、调节参数都为非线性的阈值协整模型，并探讨该模型的检验方法。研究表明，在协整关系的检验中，Wald统计量有较好的有限样本性质。在协整关系的非线性检验中，LMW和LMG统计量的水平扭曲和检验势都较好。在调节参数的非线性检验中，当调节参数具有显著的非线性时，LMH统计量表现出较好的有限样本性质。
침대경제변량적장기균형화단기조절관계가능동시존재비선성적사실，확전현유역치협정모형，제출협정향량、조절삼수도위비선성적역치협정모형，병탐토해모형적검험방법。연구표명，재협정관계적검험중，Wald통계량유교호적유한양본성질。재협정관계적비선성검험중，LMW화LMG통계량적수평뉴곡화검험세도교호。재조절삼수적비선성검험중，당조절삼수구유현저적비선성시，LMH통계량표현출교호적유한양본성질。
Based on the economic practice that the relationships of long-run equilibrium and short-term of economic variables are nonlinear, the paper proposes threshold eointegration model with nonlinear cointegration vector and nonlinear adjustment parameter, and also studies the test methods. This study shows that in the test of eointegration, the Wald statistics has better finite sample properties. Among the nonlinear test of cointegration relationship, LMw and LMG statistics have small distortion size and high power. When test the nonlinear of adjustment parameter, LMH statistics has good finite sample properties while the nonlinear characteristic of adjustment parameter is significant.