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The Wold Representation, Degree of Non-Cointegration and the Johansen Trace Test
Cointegration trace test simulation vector moving average vector auto-regression
2010/9/7
The empirical size and power properties of the Johansen vector autoregression based trace test for cointegration are considered in the case where the data is generated by a sequence of vector moving a...
Low-Frequency Robust Cointegration Testing
stochastic trends persistence size distortion interest rates term spread
2014/3/18
Standard inference in cointegrating models is fragile because it relies on an assumption of an I (1) model for the common stochastic trends, which may not accurately describe the dataís persistence. T...
TESTING FOR COINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE PRESPECIFIE
TESTING FOR COINTEGRATION THE COINTEGRATING VECTORSPRESPECIFIE
2014/3/18
Many economic models imply that ratios, simple differences, or "spreads" of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and - l's and ...