关于机理变化型变结构非线性协整的研究

变结构非线性协整是协整理论发展的必然的趋势,也是经济系统复杂多变的必然需求,文章补充了变结构非线性协整的定义,并提出了机理变化型变结构非线性协整,指出其本质问题即单位根的结构突变检验,总结了几种结构突变的单位根检验方法,讨论了变结构点的估计方法,给出了基于Chow统计量的变结构协整检验和建模方法。

Research on Nonlinear Cointegration with Mechanismic Changes

Research on nonlinear cointergration with structural changes was the inevitable tendency of cointergration theory development,was also the inevitable demand of the complicated and diversified economic system.In this paper,we supplemented the concepts and types of nonlinear cointegration with structural changes,and proposed the concept of nonlinear cointegration with mechanismic changes,pointed out that its essential question was the testing of the unit root with structural changes,and summarized it.Finally we discussed the estimation of break points,and also studied Chow-type test statistics for testing cointegration with dimensional changes and the modeling procedure when the structure changes occur.