CAJ | 학술논문

一般来说,数据结构突变点的位置是未知的或突变点的存在性无法准确预知。而Enders和Lee证明了低频的傅里叶变换能较精确地处理单位根检验中的数据结构突变（异质结构突变）问题。本文在协整模型框架下,使用傅里叶变换处理协整模型确定性趋势项下的结构突变,考察了协整模型参数的收敛速度,并重新推导了不等方差检验。本文通过蒙特卡洛模拟表明：在缺乏结构突变的先验知识的情况下,使用低频的傅里叶变换能较好地处理协整回归中的确定性趋势的结构突变的问题,显著提高协整向量的估计效率。最后本文使用改进后的方法,重新研究了中国股市和国际股市联动关系的密切程度,实证结果证明,中国投资者投资于澳大利亚市场分散风险的收益显著弱于投资其他国际市场。
일반래설,수거결구돌변점적위치시미지적혹돌변점적존재성무법준학예지。이Enders화Lee증명료저빈적부리협변환능교정학지처리단위근검험중적수거결구돌변（이질결구돌변）문제。본문재협정모형광가하,사용부리협변환처리협정모형학정성추세항하적결구돌변,고찰료협정모형삼수적수렴속도,병중신추도료불등방차검험。본문통과몽특잡락모의표명：재결핍결구돌변적선험지식적정황하,사용저빈적부리협변환능교호지처리협정회귀중적학정성추세적결구돌변적문제,현저제고협정향량적고계효솔。최후본문사용개진후적방법,중신연구료중국고시화국제고시련동관계적밀절정도,실증결과증명,중국투자자투자우오대리아시장분산풍험적수익현저약우투자기타국제시장。
Generally speaking,the location of the structural breaks in DGP and the existence of structural break are uncertain. Enders and Lee（ 2009,2011） show that,in the unit root tests,（ heterogeneous） structural changes of unknown form in the data can be captured well using the low frequency components of Fourier approximation. Under the cointegration framework,we examine the convergence rate of the parameters and re-derive the unequal variance test with breaks in the deterministic trend. Our results show that the terms containing Fourier approximation in the regression model converge at the rate槡T. Our simulations show that the efficiency of cointegration vector estimation can be enhanced significantly when we use Fourier approximation to model the unknown-form structural breaks in the deterministic trend in the cointegration regression model. This paper re-examines the comovement patterns between China capital market and other international markets using the improved method. The empirical results suggest strongly that Chinese investors can benefit less from investing in Australia other international markets.