关于分段非线性型变结构协整的研究被引量：1

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摘要纵观金融时间序列的发展变化研究,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,并提出了分段非线性型变结构的误差校正模型以及变结构点的搜寻的基本方法,最后给出基于Chow统计量的分段非线性型变结构非线性协整的检验方法。

作者韩勇李容花

机构地区东南大学经济管理学院

出处《统计与决策》 CSSCI 北大核心 2009年第12期17-19,共3页 Statistics & Decision

基金国家自然科学基金资助项目(70471029)

关键词非线性协整变结构非线性协整误差校正模型变结构点 Chow统计量

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1杨宝臣,张世英.机理变化型协整变结构检验[J].系统工程理论方法应用,2006,15(1):61-64. 被引量：10
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统计与决策

2009年第12期

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