部分协整型协整变结构检验

Testing of partially variable structure cointegration

提出了变结构协整的定义及分类.将变结构协整分为3种类型:参数变化型协整,部分变化型协整和机理变化型协整.对于第2种类型变结构协整问题提出了基于Chow检验统计量的3种变结构协整检验和建模方法.给出长期方差为常数和长期方差存在漂移的情况,在最大Chow检验,平均Chow检验和指数Chow检验下统计量的渐近性质和极限分布.

<Abstrcat>We propose the concepts and types of cointegration with structural changes, and divide the cointegration with structural changes into three types: Cointegration with coefficients shift, partially cointegration, and cointegration with mechanismic change, respectively. The paper developes three types of testing of cointegration with partially cointegration and their modeling procedures based on Chow-type test statistics. Furthermore, we give the asymptotic characteristics and limit distributions of statistics in such cases that long-run variance is constant and long-rum variance exists a drift case, under max Chow test, mean Chow test and exponential Chow test.