平滑转换向量误差修正模型的非线性协整SupLM检验

SupLM Testing for the Null of Linear no Cointegration in Smooth Transition Vector Error Correction Models

本文考虑平滑转换向量误差修正模型的非线性协整检验问题,相对于传统的两步检验法,给出已知协整向量下的直接检验非线性协整的SupLM检验方法,通过定义平滑转换协整模型,给出SupLM检验统计量,在原假设下得到检验统计量的渐近分布和相关的bootstrap算法,模拟结果和实例计算表明了该方法的有效性。

With respect to the traditional two-step test,we develop a test for the linear no cointegration null hypothesis in a smooth transition vector error-correction models with a known cointegrating vector.By the definition of the smooth transition model,a SupLM type statistic was given including its distribution theorem and the residual-based bootstrap was proposed,the finite sample simulations and the real example show the validity of this test method.