基于门限协整系统的预测方法研究

某些非平稳时间序列，它们在整个区间上并不存在线性协整关系，而存在非线性协整关系。作者运用门限协整的概念，处理非线性协整问题，把整个区间检验为若干个子区间，分别在每个区间上进行线性协整分析。文中讨论了滚动预测方法。最后，通过上证和深证A股指数的门限协整分析，验证了门限协整系统在预测中的优越性。

Research on Forecasting Methods Based on Threshold Cointegrated Systems

For some nonstationary time series processes, on the whole regime, there are no linear cointegrating relationships among them, but there exists nonlinear cointegrating relationships. The author deals with the problem of nonlinear cointegration by using the concept of threshold cointegration, divides the whole regime into several sub regimes by testing, and carries on the linear cointegration analysis on each sub regime. The author also explains the rolling forecast method. At last, the superiority of the threshold cointegration systems on forecasting is verified by analyzing the A-share index of Shanghai Stock Exchange and Shenzhen Stock Exchange.