局部平稳性未知条件下STAR模型的线性性检验

本文讨论了局部随机游走STAR模型、局部随机趋势STAR模型的线性性检验问题,构造了Wald类检验统计量,推导出了这些统计量的极限分布,并分析了这些统计量有限样本下的统计特性;本文提出了在局部平稳性未知的条件下,进行STAR模型的线性性检验方法,构建了稳健的检验统计量。检验功效与检验水平分析表明,该统计量具有良好的检验水平及较高的检验功效。

Linearity Test for STAR Models When Partial Stationarity is Unknown

In this paper,partial random walk STAR model and partial stochastic trend STAR model are presented.The test of linearity is considered via constructing statistics,deriving their limit distributions and examining their finite sample properties.Next,a robust test statistics is proposed,which can test for linearity when partial stationarity is unknown.The empirical power and size of these statistics are analyzed by Monte Carlo simulations,and the results show that the robust statistics performs well.